After being put in to bat at the toss, the Proteas Women got to total of 183-5 in their 20 overs thanks largely to a blazing knock of 61 not out off just 26 balls from Chloe Tryon that included six sixes.
Tryon was supported by Nadine de Klerk, with 46 from 33 deliveries, after the pair came together when the Proteas needed to do a bit of work when the score was 82-4 in the 13th over.
Captain Laura Wolvaardt continued to show her good form with a fluent 43 from 27 balls but the rest of the top-order failed to get good time in the middle ahead of the global showpiece.
New Zealand skipper Amelia Kerr was the catalyst to her team chasing down the 184-run target with 61 from 32 balls, while opener Georgia Plimmer contributed 38.
The Kiwis always stayed on track with the required-rate but lost a cluster of wickets in the middle overs as the Proteas sniffed an unlikely victory.
The game indeed went into the final over but Maddy Green (19 not out) made sure it was New Zealand that came up trumps with a couple of balls to spare.
The ICC Women's World Cup kicks off on Friday when hosts England take on Sri Lanka in Birmingham with the Proteas Women now preparing for their opening clash against Australia in Manchester on Saturday.
Marizanne Kapp is the only Proteas player selected in the ICC Women's T20 World Cup team of the tournament, a trophy won by Australia when they beat England in the final at Lord's on Sunday.
Australia returned to the top of women's T20 cricket, defeating hosts England by chasing down 151 with 17 balls to spare to claim a record-extending seventh Women's T20 World Cup title at Lord's.
Australia Women veteran Ellyse Perry will likely be called up to play in the Women's T20 World Cup Final despite being under an injury cloud.
The Proteas Women fell to a 40-run defeat against host nation England in the ICC Women's T20 World Cup semifinal at the the Oval on Thursday.
