He was in Washington this week, and said the US was studying the situation intently.
"I think they are as frustrated as we are that some of this is of the making of the Iraqi leadership, who have not taken a particularly inclusive approach to governance arrangements.
"I think there will be a good deal of international soul-searching for a few days before we can see a productive pathway chartered forwards."
The al-Qaeda breakaway Islamic State of Iraq and the Levant (Isis) has gained control of north Iraq.
"Sadly we have seen the United Nations Security Council drop the ball rather too often when confronted with difficult problems," said Mr McCully.
He would not speculate on what New Zealand's response would be if the United States sought any assistance. He and Prime Minister John Key met a grouping of Islamic countries at the UN yesterday to lobby for a seat on the Security Council.
Mr Key said the fact New Zealand voted for the Palestinian statehood resolution at the UN was noted.
Palestine's ambassador and permanent observer at the UN, Riyad Mansour, joined in the cricket event on the UN's East Lawn afterwards.