And he believes the Security Council should be playing a greater role in getting a settlement.
France is working on the text of a resolution, in concert with Arab countries, to try require a two-state settlement within 18 months based on 1967 borders.
"We have been trying to encourage that process forward but we have also been looking at other options and direct engagement with the parties is important," Mr McCully told the Herald before he left.
New Zealand was never going to "go along and eat our lunch" during its two-year term on the council.
"We're not a big player and we're not in the neighbourhood but we do have good relations with both sides and they've both emphasized to us how useful that can be in trying to make something happen over the coming two months."
Other foreign ministers who have just been or are planning to go soon are his counterparts in the European Union, High Representative Fredrica Mogherini, and French Foreign Minister Laurent Fabius, both of whom he is in touch with.
Germany's foreign minister, Grzegorz Schetyna, visited Israel this week and visited Hamas-controlled Gaza. Canada and Poland's foreign ministers are also planning visits.
"All of this points to the fact that we are moving into the zone where the rubber is going to hit the road on the Middle East Peace Process if it is ever going to," he said.
The Times of Israel yesterday previewed Mr McCully's visit in mocking tones and described him as a "diplomatic bantam" in the headline. The writer suggested New Zealand was determined "to make a splash on the international stage."
It quoted an Israel Foreign Ministry official as speculating that New Zealand "might have a Security Council resolution drawn up that they're keeping in the drawer."
"New Zealand thinks it can think outside the box," the official reportedly said.
Israel's baulks at what it sees as interference in what it wants to be a bilateral process.
Mr McCully was due to talk about what was happening in Libya, Syria and Iraq as well, and it was important to get Egypt's view.
"When I was a young man, the idea of a peace between Israel and Egypt was regarded as fanciful but they have had one for 45 years. So they have got an intimate understanding of what is possible and what is not in that location."
Meanwhile Prime Minister John Key told Parliament yesterday that he was quite confident that Mr McCully had fully advised the cabinet in 2013 before it approved expenditure on an agrihub farming venture in Saudi Arabia, $11.5 million in total, part of which included the settlement of a long-running dispute with an influential Saudi businessman.
Labour says it amounts to bribery.
Mr Key: "The full cabinet agreed to the proposals put forward by Minister McCully in a paper that was tabled in the House last week."
