Fergus Pringle's side claimed a bonus point with four tries from Joe Roberts (2), Harvey Preston and Daniel Kelly.
Scotland competed well early on, and had the upper hand at scrum time, but New Zealand struck through Logan Williams after 17 minutes and added a penalty soon after. Cohen Norrie's converted try stretched the lead to 17-0, but Preston's try from a driving maul, converted by Jake Dalziel, cut the deficit to 17-7 at half-time.
New Zealand scored again straight after the break through Norrie, but Scotland responded with Roberts' first converted try. Siale Pahulu restored New Zealand's advantage before Roberts crossed again to bring Scotland back within 10 points.
John Falloon's late try gave New Zealand breathing room at 36-19, but Scotland kept pushing and were rewarded in the closing moments when Daniel Kelly crossed to secure a try bonus point.
Scotland now face Japan on Tuesday, having taken six points from their first two games.