"But I think we will take that away and see if we've got the right settings. We are incredibly hopeful that we will see reform."
He said in his view, sanctions were often "spectacularly unsuccessful."
"And if it really is holding back genuine development, that is something we might look at. But it is very early days."
He said Mr Tsvangirai had been pushing for reform in Zimbabwe and New Zealand's Government wanted to know what the best way forward was and how to eliminate human rights abuses in Zimbabwe.
Mr Tsvangirai was a key democracy advocate in Zimbabwean politics and his MDC-T Party entered a coalition government with the Robert Mugabe-led Zanu-PF following a controversial election in 2008.
Australia's Government has made similar remarks - Mr Tsvangirai is currently in that country and Australia's Trade Minister Craig Emerson said it was open to reviewing sanctions if Mr Tsvangirai believed that would send the right messages for reform in Zimbabwe.
Mr Key said although there was criticism of Mr Tsvangirai for entering a coalition agreement with Mugabe, "he's arguably better at the table and hopefully he's having some influence."
He said New Zealand usually moved with other countries when making its own decisions on such matters, although it was not bound to.
Mr Tsvangirai's visit is the first by a member of the Zimbabwe government in more than a decade.