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Tim David powered Australia to victory over New Zealand from the final ball of a thrilling first T20 in Wellington.

Chasing 216, Australia needed 32 from the last nine balls before David hit Adam Milne for a four and two sixes.

Tim Southee conceded four runs from the first three balls of the final over.

But David flicked a six to keep Australian hopes alive and, with four needed from the last delivery, clipped a four through mid-wicket, ending 31 not out from 10 balls.

Australia captain Mitchell Marsh made 72 not out in the six-wicket win, Australia's third-highest run chase in T20s.

"That was incredible and [I was] pretty lucky in the end," said Marsh, who also took 1-21 in three overs with the ball. "I was swinging like a rusty gate towards the back end of the innings.

"That is exactly why he [David] is in this team. It was a pleasure to watch."

Rachin Ravindra hit six sixes in a 35-ball 68 and Devon Conway 63 from 42 in the Black Caps' 215-3.

David Warner, who has retired from Test and 50-over cricket but is still playing T20s for Australia until this year's World Cup in June, hit 32 in the chase.

The sides play the second of three T20s in Auckland on Friday and begin a two-Test series later this month.