McCullum muscled his way to 68 from 48 deliveries while Otago opener Hamish Rutherford, who did not feature in the Champions Trophy which concluded on Sunday, lofted four sixes in his 62 from 35 balls.
England needed six off the final ball to take the game into a super over but Ravi Bopara, who played in the side who lost the Champions Trophy final against India by the same margin, could manage only one.
Fast bowler Boyd Rankin, who has been included in the England squad for an Ashes warmup game against Essex after representing Ireland in the 2007 World Cup, took one for 24.
The teams meet again at the Oval on Thursday in the final match of New Zealand's tour.
Scores: New Zealand 201 for four (H.Rutherford 62, B.McCullum 68); England 196 for five (L.Wright 52).
