He then continued across the Tasman Sea before heading northwest to Kuala Lumpur.
Although there were no apparent safety concerns with the confusion, Airways yesterday confirmed it was investigating.
"We have an internal safety team who will investigate it," a spokeswoman said.
"The flight plan the airline filed with us was going to Kuala Lumpur but via a slightly different route than the pilot was expecting."
Airways will "work closely" with the much-maligned carrier to find out how the confusion came about, the spokeswoman said.
Last year, 577 crew and passengers lost their lives on two separate Malaysia Airlines flights. Flight MH370 disappeared between Kuala Lumpur and Beijing for unknown reasons in March and MH17 was shot down by a Russian-made missile over Ukraine in July.
The airline did not respond to requests for comment.
New Zealand aviation commentator Peter Clark praised the pilot for his actions.
"The pilot has done a very good job by noticing it, querying it and not just blindly flying off and ending up in the Southern Ocean," he said.
He said if Malaysia Airlines was now a responsible airline, "which I hope it is after everything that has happened", it would ask for an explanation and investigate.
Flights on the route often travel around the bottom of Australia to avoid bad weather or head-winds, Clark said.
"The pilot was probably not used to going that far south."
WeatherWatch head analyst Philip Duncan said he flew out of Auckland this week in "perfect conditions". A large high was settling across the Tasman Sea.
The weather between New Zealand and Kuala Lumpur was "fairly calm", but Duncan said thunderstorms across northern Australia and Papua New Guinea may have influenced Malaysia Airlines' preferred route.