Try first
New Zealand World War 1 Service Personnel & Reserves Index (CD-ROM available on the family history computers)
This is an easily searchable index to records from the NZ Expeditionary Force nominal rolls, the First Division Reserve roll (Sept. 1916), the Second Division Reserve roll (Oct. 1917), the Native Reserves Lists and the Military Defaulters list. New Zealanders serving with Australian and British forces including the Royal Navy Volunteer Reserve are also included. The index records the name of the serviceman, his rank and regimental number, NZ address, and occupation. Some entries also include the name and address of next-of-kin.
Other sources
New Zealand Expeditionary Force & Reserve list, 1914-1918 war [microfiche]
Nominal rolls, roll of honour, lists of medal winners. Similar information to the above item but not nearly as easy to search. Located on Tuakiri | Identity, Level 2, Tūranga.
Studholme, J. New Zealand Expeditionary Force record of personal services during the war of officers, nurses and first-class warrant officers
Includes brief details of service, date of termination of service or death, honours and awards. Indexed. Lists officers only.
Troup, R. Southland soldiers and their next of kin: roll of honour
Includes chronology of war and dates when troops were despatched from New Zealand. Lists of soldiers from Southland region, with address, next-of-kin, rank and regimental number.
Guthrie, F. (compl.) Index to New Zealanders who served in other forces during World War I [microfiche]
A list of over 2000 men and women who served in the Australian, British, Canadian, French, Italian and South African forces.
For further information, you can also check our catalogue: New Zealand. -- Army. -- New Zealand Expeditionary Force, 1st
Official data
Many official records of war service personnel which were held by the personnel records section of New Zealand Defence Force are now in Collections Search - Archives New Zealand. Copies of some files are made available electronically. Find out more on the Archives New Zealand site.
New Zealanders who served in Australian forces:Check Australian ANZACs in the Great War, 1914-1918, the web site of the AIF Project. This database includes official records for the 333,000 men and women who served in the Australian Imperial Forces during the First World War.
New Zealanders who served in British forces: British Army World War One service and pension records are online. You can now search for those who served between 1914 and 1920. Searching the name index is free. Pages from the original files are available by subscription or with Pay per View from Ancestry.co.uk.
Website
Researching New Zealand soldiers in the First World War
A list of resources from New Zealand History Online.