Mr Key light-heartedly defended his entourage of two Diplomatic Protection Service members at the most isolated place on the planet.
"You never know where there's a trained assassin, I suppose, do you?"
The visit comes soon after failed talks to establish the largest marine reserve in the Ross Sea, during which New Zealand initially rejected a comprehensive protection plan drafted by the United States.
The US did not want fishing in the Ross Sea, but later agreed to a new joint proposal with New Zealand which permitted some fishing.
Mr Key said there was no bad blood between New Zealand and the Americans.
He noted that the US had no fishing interests in the Ross Sea, while New Zealand's fishing in the region produced a $20 million catch each summer.
"But New Zealand has always had a very strong history of undertaking fisheries on a very sustainable basis. That is something we are very acutely aware of in Antarctica.
"If New Zealand wasn't there, it would leave a vacuum that others would actually fill and fill on a less sustainable and sensible way."
Next week, Mr Key planned to gift three bottles of Ernest Shackleton's whiskey to the Antarctic Heritage Trust.
The century-old bottles, which were found under the floorboards in Shackleton's Antarctic hut, were being returned after being sent to Scotland for analysis.