The troops came under fire from insurgents about 11am Afghan time on Sunday (about 7.30pm NZ) but none were injured.
A patrol, comprising Hiluxes and Hummers, was returning from the northeastern area of Bamyan province, when it came under fire from insurgents armed with small arms and rocket propelled grenades, said Captain Zac Prendergast of NZ Defence Force communications.
The New Zealand troops returned fire on more than one occasion and the whole incident probably lasted about two hours, he said.
"It wasn't a shoot and scoot. They were able to take up positions and return fire."
New Zealand has about 140 defence force personnel running a provincial reconstruction team (PRT) in Bamyan and a contingent of SAS troops in Kabul.
Mr Key said that wasn't going to change.
"As I've said repeatedly, Afghanistan is a dangerous place and I believe the ongoing work of the PRT and of our other defence forces continues to be important as we seek to stabilise the situation in Afghanistan," he said at his post-cabinet press conference.
"It's certainly a little more dangerous than it was when we first went there in 2003."
Asked whether he planned to visit Afghanistan, Mr Key replied: "I may do, yes."
Capt Prendergast said it had not been established who the insurgents were. There were other groups operating in the area and they would not necessarily be part of the Taliban, he said.
A couple of the patrol's vehicles suffered minor damage but were able to make it back to base under their own steam.
They would return to patrol today, he said.
"It will be business as usual."
The New Zealand contingent needed to maintain its presence alongside the Afghan police, especially leading up to the election run-off, Capt Prendergast said.
"This is an area we have had a couple of contacts before. It's an area we do know you need to tread carefully. Obviously there will be heightened awareness now."
In June a home made bomb exploded in front of a New Zealand patrol. No one was injured.
