I want to put my NZ SIM card in my iPhone 11 from USA

To be able to use any SIM across the globe you must have "No SIM Restriction" against Network Provider Lock. Please refer to the pic below.

Carrier Lock:- Request your iPhone’s original Carrier to unlock your iPhone and if they agree and do it, then you may know the further process here --> How to unlock your iPhone for use with a different carrier ...

Device Unlocking Policies | Verizon Privacy Policy

Unlock a Phone or Device - AT&T Device Unlock Portal

Unlocking your Sprint device - T-Mobile

FAQs about unlocking your Sprint device

Unlock Your Phone for Spectrum Mobile

You will not be able to install the NZ Sim card if you tap Settings > General > About and scroll down to see Carrier Lock

This means that your phone is locked to a carrier in the U.S. You will have to contact that carrier and ask them to remove the lock on the phone.

When the phone is unlocked and you tap Settings > General > About and scroll down to see No Sim Restrictions......then.....you will be able to install the NZ Sim card and set up service with the NZ carrier.