The hosts suffered defeat in the first one-day international as AB De Villiers (89 not out) guided South Africa to victory in Mount Maunganui.
Luke Ronchi (99) had given New Zealand hope as they reached 230 despite slipping to 156-9 in their innings.
McCullum was proud of his team and believes they were closer than the score suggested, with South Africa reaching the target with 11 balls to spare.
"It was pretty good. It was pretty close. The scoreboard doesn't reflect that but I thought we had a period there where we weren't that far away," he told Sky Sport New Zealand.
"I'm pretty proud of our effort to get through to 230 after staring down the barrel of a pretty low score.
"There were some good fighting qualities there, but unfortunately the class of AB and JP [Duminy] towards the end just got them home."
Ronchi and Trent Boult (unbeaten 21) put on 74 for the 10th wicket and New Zealand reduced South Africa to 97-4 before De Villiers and Duminy (58 not out) guided their team home.
On his international return, left-arm spinner Dan Vettori bowled 10 overs and took 0-43.
McCullum took plenty of positives out of the loss.
"Trent Boult I thought was outstanding. He's certainly improving as a cricketer, he's starting to flow his Test game into the shorter version as well so that's a real positive," he said.
"I thought Luke Ronchi was outstanding. Out of all of our batters, he was the only one who had any sort of flow. He was brilliant. Disappointed for him not to get a hundred, but he'll take a lot out of that knock.
"To have Dan back and use him in a slightly different role today from what we've seen him over the past few years. It was nice to get him back out on the field and it looked like he was racing around like a youngster."