A source has confirmed Heughan, McTavish and the film crew stayed at the Kelvin Hotel while filming, but left the city a couple of days ago.
They were thought to be heading to Otago to check more Scottish links.
The two stars, along with Alex Norouzi, collectively produced the Men in Kilts: A Roadtrip with Sam and Graham — a series which recorded the pair travelling through Scotland looking at the region's history and heritage.
Heughan said last year they had such a wonderful time filming the first series they decided to continue their adventures with a second series in New Zealand because of its rich Scottish heritage.
McTavish, 61, and his family moved to New Zealand in 2011.
His recent work included his role as Dougal McKenzie in Outlander and Dwalin in The Hobbit.
New Zealand was a place he had come to "love dearly".
"We are going to be enjoying ourselves in the footsteps of the Scottish immigrants that went there in the early 19th century and finding all things Kiwi and finding out why it's the Scotland of the southern hemisphere." he said.
Heughan, 41, who rose to fame in his role as Jamie Fraser in Outlander, said during a recent interview he had spent Christmas Day by himself in New Zealand managed isolation and quarantine facilities, so he could film the Men in Kilts series.