Ms Gillard is the first foreign leader to speak in the debating chamber and she talked about the loss of Private Kirifi Mila in an accident last night, while commenting on the Anzac spirit and shared losses in war.
"Just two days ago I attended the funeral of Corporal Richard Atkinson, the 22nd Australian soldier to be killed in Afghanistan."
She talked about that family's grief.
"New Zealand has not been spared this anguish, not in the past with the death of Lieutenant Tim O'Donnell the first member of the New Zealand Defence Force to fall in Afghanistan and not today with the terrible news of another sad loss of a New Zealand life, the death of Private Mila.
"We grieve for these men and their families as we grieve for our own, because the Anzac stories speak for both our nations an imperishable trans-Tasman bond. They can never be replaced, our fallen, but they will never be forgotten."
Prime Minister John Key spoke after her, saying it was a sad day for New Zealand.
"Today we acknowledge with great sadness the loss of a New Zealand soldier in Afghanistan, Private Kirifi Mila, as a result of a motor vehicle accident."
When Parliament sat at 2pm, MPs would pay respects and offer condolences.
Mr Key also said in a statement that the death had shocked and saddened him.
Three others were injured in the accident, one seriously. He has undergone surgery after being evacuated to Bagram.
The accident happened in the north east of Bamiyan province when the Humvee that the four members of the Provincial Reconstruction Team were travelling in, rolled down a 30 metre cliff.
"This is a tragic accident and my heart goes out to the family of Private Mila," Mr Key said. "Our Defence Force in Afghanistan is operating in a dangerous and difficult environment in order to help the Afghan people.
"To have one of our own die in a road crash is heart-breaking news."
The men were on a routine patrol at the time of the crash.
On Ms Gillard's arrival at Parliament, the Australian and New Zealand flags flew at half mast.
