Labour's Foreign Affairs spokesman David Shearer said it was a critical time for Afghanistan as the Taliban started to regain momentum and Afghanistan's armed forces were found wanting.
"Things are quite critically poised at the moment. A lot of countries have pulled out and without Western support, particularly US support, the Government would be in a difficult problem in terms of resisting the Taliban's advances."
McCully's speech to the Security Council said the failings of Afghanistan's leadership were "profoundly concerning" after 15 years of strong support from the international community.
It earned him a rebuke from Afghanistan's representative to the United Nations, Mahmoud Saikal, who said New Zealand was a "true blue friend of Afghanistan" but should not interfere with its internal politics.
In Brussels, McCully will also sign an upgraded accord with the European Union, a step described as an important precursor to a free trade agreement.
The Partnership Agreement on Relations and Cooperation (PARC) will commit the EU and New Zealand to co-operate on a range of issues and is a treaty-level agreement - an upgrade to the old Joint Declaration between the countries.
"The PARC represents a significant step forward in New Zealand's relationship with the EU and it is the precursor to a free trade agreement," McCully said.
European politicians have assured New Zealand Government ministers the decision for the UK to leave the EU would have little impact on trade talks, but there is concern about the departure of Britain given it was one of New Zealand's champions for trade talks.
New Zealand is is one of a few countries yet to secure a free trade agreement with the EU bloc.
Labour's Foreign Affairs spokesman David Shearer said it was a positive step if it opened the way for talks after years of preliminary discussions.