Anderson chopped on for a golden duck from the next delivery, leaving Luke Ronchi and Tom Latham a tough task to rebuild the innings. Neither went into their shell, with Ronchi keen to counter-attack by looking initially to hit down the ground.
Latham was unlucky to be stumped off the bowling of Duminy. Ronchi was nicked out in anticlimactic fashion to Dale Steyn on 99 from 83 deliveries, getting New Zealand through to a sub-par 230 that never looked enough.
McCullum was happy with the performances of Vettori, Boult and Ronchi and said the team learned a lot from the hit-out.
"We were a little bit uncertain of the conditions. I think the pitch played pretty well, probably a little bit slower than we expected and a little bit tennis-bally as well, so some good information for Friday's game," he said. "We weren't that far away and I can't look at those dismissals and say any were overly reckless but it's just sometimes you find a way to get out."
South African skipper de Villiers said the pitch was on the slow side and, despite his 89 not out, said he never felt totally comfortable.
Final score
New Zealand 230 (45.1 overs: Ronchi 99, Latham 29, Brownlie 24) lost to South Africa 236/4 (48.1 overs: de Villiers 89*, Duminy 58*, Amla 38; Boult 40/2, Anderson 31/1).