The teams were level 1-1 at fulltime in Stratford after New Zealand had opened the scoring through Petra Webster and the Hockeyroos had equalised via Laura Barden.
In the shoot-out, the Black Sticks were able to convert only one of their five penalty shuffles to lose the tie-breaker 2-1.
Earlier, New Zealand had taken the lead in the ninth minute, a diving Webster forcing home a cross from Rose Keddell.
Australia dominated the second quarter, at one stage winning five penalty corners in the space of just over a minute.
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They couldn't convert, but did get the equaliser in the 23rd minute, Barden the first to react as the ball rebounded off a post from a deflection.
Both sides had chances to go ahead in the second half, but Black Sticks goalkeeper Sally Rutherford and Australian counterpart Rachael Lynch each produced great reaction saves.
The tournament doubled as an Olympic qualifier, but both teams had already booked their spots for Rio next year.
