Mr Key said he felt safe throughout, but acknowledged the large number of SAS troops guarding him for his visit had helped that.
He said that the flights were the most worrying - a low-level helicopter ride through Baghdad was "somewhere between exhilarating and interesting".
"But I've taken a high degree of comfort that our people are safe. That's been my main concern. You can feel from the physical surroundings and the level of professionalism. Every single one of our people is carrying a weapon and trained in how to use that weapon. That professionalism shows and I'm proud of what they're achieving here."
The Iraqi soldiers told the media they did not believe Islamic State was as strong as it claimed and said they were fighting for their lands and their families.
A US spokesman for the coalition, Colonel Steve Warren, said the training courses New Zealand provided gave Iraqis the confidence to face the enemy.
"The soldiers that have gone through this coalition training are better equipped, they're more confident and disciplined, and frankly, they're more lethal."
A senior New Zealand Defence staffer in Baghdad had one explanation for the Iraqis' unwillingness to fight in some cases: "Iraqi are very regional, tribal and religious. That impacts on how hard they'll fight."
He said the six-week course did make soldiers more effective, but fell far short of the training a soldier in an Army such as New Zealand's would get.
The Defence Force has been criticised for the level of secrecy around the deployment and media travelling with the Prime Minister signed agreements not to identify any New Zealand personnel. By comparison, Australia's troops can be named if they are willing.
During Mr Key's visit, however, Defence Force personnel spoke frankly about the programme, the risks, and the effectiveness of it. They also spoke with some passion about the deployment and their belief it was making a difference.
Despite that, Mr Key said he still did not believe it should go beyond two years, citing the $30 million annual cost and the pressure on soldiers with families at home.
Taji camp
• The camp New Zealand troops are based in is a vast, dusty, 36sq km area. A lot of it is derelict with abandoned buildings left from the United States' withdrawal in 2010 after the Iraq War.
• The New Zealand troops are based in the SOSI (SOS Iraq) compound deep within the camp and protection vests and helmets must be worn when venturing outside that compound and into the wider Taji complex.
• SOSI are contractors which run the complex - from the food and accommodation to the rubbish.