"So I don't get to the course every week, but I get to the range every week, and so I go and hit some balls.
"I think it's quite good for stress relief and a bit of fun."
Key - a member of the Royal Auckland, Omaha Beach, and Wairakei International clubs - revealed that he had received free golfing tuition from Golf Warehouse directors Rhys Bishop and David Thwaites.
But unlike Obama, he did not fit in a regular round of 18 holes.
"He plays every week," Key said.
"He's been to Butch Harmon, I know that, so he's got the best coach in America."
The two leaders played a round of golf in Hawaii in 2014 - a five-hour match which Key said was worth "a decade of bilaterals". But there was no winner - they played on the same team.
Obama was a "stickler for the rules", Key said.
"There has been notorious rumours about politicians and their ability to use their magic pen."
That could be a reference to presidential hopeful Donald Trump, another golfing fanatic, who claims a handicap of 4 but has never produced a signed card.