Norway, ranked 10 places higher than New Zealand in ninth place, scored both of their goals in the last 10 minutes.
The first match ended in a 1-1 draw.
Coach Tony Readings says the loss is particularly hard to take as they had the better of the game.
"He says he doesn't think there was much doubt that they were good enough to win the game and they thought they played well enough to win."
"So the players are pretty despondent at the moment knowing that we're doing enough (to win) matches and while it's a positive to know that we are doing enough to out-perform these teams, there is still that aspect that we need to turn these performances into results."
The side's next matches are against Denmark in January as they continue their build-up to the World Cup in Canada in January.
The draw for the World Cup will be made next week.