Recent years have witnessed increasing attentions on two-sample test with diverse real applications, while this work takes one more step on the exploration of local significant differences for two-sample test. We propose the ME$_\text{MaBiD}$, an effective test for two-sample testing, and the basic idea is to exploit local information by multiple Mahalanobis kernels and introduce bi-directional hypothesis for testing. On the exploration of local significant differences, we first partition the embedding space into several rectangle regions via a new splitting criterion, which is relevant to test power and data correlation. We then explore local significant differences based on our bi-directional masked $p$-value together with the ME$_\text{MaBiD}$ test. Theoretically, we present the asymptotic distribution and lower bounds of test power for our ME$_\text{MaBiD}$ test, and control the familywise error rate on the exploration of local significant differences. We finally conduct extensive experiments to validate the effectiveness of our proposed methods on two-sample test and the exploration of local significant differences.