Sonny Bill Williams is the only member of the squad to have played at Wembley - he did so for the Kiwis league team in their 2013 Rugby League World Cup semifinal victory over England.
His good mate Liam Messam has been before - but as a spectator to another code.
"There have been some massive football games played there and I was lucky enough a couple of years ago to go to an NFL game there - it was pretty impressive," Messam said.
"We are lucky in the job we do that we get to play in some awesome stadiums around the world, Ellis Park, Twickenham, and now we get an opportunity to hopefully play at Wembley. We are just grateful and lucky to be in the position we are."
The All Blacks have played at Wembley Stadium before - the old one, that is - back in 1997 when they beat Wales 42-7. The new stadium, built on the site of the old one, was finished in 2007 and this will be the first time it has held a World Cup match.
The capacity at the venue in north west London is 90,000 and the fixture has sold out. The match between the All Blacks and their Rugby Championship rivals is said to be one of the most popular fixtures of the tournament, with some estimating it could have been sold five times over.
The record stands at 82,957 - the 2003 final between England and Australia in Sydney at what is now called ANZ Stadium.
Beauden Barrett, who is, like Ma'a Nonu, a Chelsea supporter, said of the place which is best known for football and in particular FA Cup finals: "All I know about Wembley is that it's a huge stadium. If I get the opportunity to play there it would be outstanding."
Flanker Sam Cane said: "We play in a lot of awesome stadiums but we're looking forward to Wembley. We know there's a lot of history there."
It's match one in a tournament the All Blacks are rightly viewing as a marathon rather than a sprint, and, in this case they are backing their experience and big-game temperament to get them over any potential unfamiliarity.
Wembley Stadium will also host a Pool D match between Ireland and Romania.