With the hosts needing seven runs from the final over, England's Sophia Dunkley thrashed a full toss from Amy Satterthwaite to the mid-wicket boundary on the penultimate ball to secure a 2-1 series win in Taunton.
The White Ferns posted 144 for four with Suzie Bates contributing 34, Sophie Devine 35 and Brooke Halliday 25 not out.
Spinner Leigh Kasperek gave New Zealand a chance for their first T20 series win over England since 2010 with three wickets for 25 runs, claiming the key wickets of opener Danni Wyatt and vice-captain Nat Scive in consecutive deliveries.
But England ultimately had too much for a spirited New Zealand side, home skipper Heather Knight leading the way with 42 off 36 balls before falling in the penultimate over.
Devine, who was named the player of the series, said the loss was disappointing but she was happy with the progress made by the side.
"I thought it was a great game of cricket," she said.
"Credit to England, they held their nerve there I thought. Everyone was in with a shout in that last over, which is what you want in a T20 cricket match. Disappointing not to win but we're certainly going to take a lot of learnings from tonight.
"To my girls, extremely proud of them. I think this is starting to show the work that we've put in over the last couple to months and it's starting to come to fruition."
