"It's something I've done a lot of work on," he says. "When I first came into international cricket, I sort of feared those big moments. It gets conditioned into you as a sportsman that these moments are so important and you'll feel pressure, and you'll be nervous," he told the Guardian.
"I think what I've done while I was away from the game is that I've changed my relationship with moments like that to a relationship of enjoyment.
"Guppy [Guptill] and I sat on the sidelines before we went out for the super-over and we actually played club cricket together in Auckland in about 2009, before I left to go to Otago.
"I turned to him and said 'From batting together at Ken Maunder Park 2009, to a World Cup final at Lord's – how good is this?' And we had a little laugh and walked out.
"So I wasn't nervous at all. It was a feeling of excitement and possibilities. The cards didn't fall our way that day, but I'm still very proud of how we went out and took the game on and maybe in four years' time, it will be different."
Neesham said the World Cup final defeat at Lord's will stay with him for the rest of his life but went back on a Tweet where he recommended children shouldn't take up sports, instead doing baking.
"The game we play has very high highs and very low lows and you try to ride the rollercoaster as best you can and sometimes, through no fault of your own, you find yourself on the negative side.
"I wouldn't recommend taking up baking to all the children unless they want to. I'd certainly recommend taking up sport to all the youngsters. I take that tweet back!
"I don't think I will ever not think about that match. It's one of those things that does stay with you. [Captain] Kane [Williamson] explained it quite well, that it comes at you in waves, that you forget about it for a while and all of a sudden something sets you off."
Neesham is preparing for the Global T20 Canada tournament where he is playing for the Edmonton Royals, coached by former Black Caps skipper Stephen Fleming.
