Yesterday, an unbeaten 86-run partnership between Marsh and John Hastings helped Australia defeat New Zealand by four wickets with 21 balls to spare and level the series 1-1. The decider is in Hamilton today.
It's a high-risk strategy that has won games for New Zealand but also left them vulnerable.
"[Wednesday] was really similar to the World Cup final," McCullum told NewstalkZB. "It's not so much nervousness but you want to do so well. I was probably a little worried about my back as well.
"It's the peripheral stuff that starts to cloud your judgement. It starts to affect the most simple aspects of the game and you're not watching the ball.
"So the World Cup final, those first three balls, I wasn't watching the ball. [Wednesday], the same thing, those first five to six balls. You want to do so well, other thoughts enter your mind and you lose sight of the most basic aspect of the game, which is just watching the ball and reacting.
"I was lucky enough I got through those first few balls to be able to remind yourself to get back to the basics. If I can do that, just watch the ball and react to what's happening, and be in a good frame of mind and let your training take over, then you are a good chance of success. You are going to get out playing some ugly shots but it's just the way you play. You have to have that instinctive character as well."
It's something New Zealand fans won't see much more of as McCullum enters the final phase of his career before retiring after the present series against Australia.
Some commentators believe he is an unfulfilled talent but he will exit the game as New Zealand's second-highest run-scorer in tests (6273 runs at 38.48) behind Stephen Fleming, third behind Fleming and Nathan Astle in one-dayers (6008 at 30.34) and first in T20 internationals (2140 at 35.66).
He achieved most of those numbers while also wicketkeeping.
Former Australian captain and selector Allan Border said he wouldn't have tried to change the way McCullum plays if he had been his coach.
"Sometimes you think, 'Brendon, give yourself a couple of balls to have a sighter', but when the brain starts going you have to run with it. It's like Glenn Maxwell. We're trying to mould him a bit differently, but they have that natural way of doing things. Sometimes it's fantastic to watch and sometimes it's cringeworthy. When you've got that sort of talent, you just have to run with it.
"I think what he has done for New Zealand cricket in recent times, and just the way he plays the game, he has dragged the rest of the guys with him. New Zealand now are a very, very competitive cricketing nation. They are good fun to watch and play against and have been well led by Brendon. He's been the talisman for that revival here."
McCullum took over as captain from Ross Taylor in 2012 and has overseen a period of considerable success in New Zealand cricket.
He admits, though, his messages to team-mates can sometimes seem shallow when he doesn't always follow his own advice.
"As captain, I can tell all these guys to watch the ball and keep it really simple," he said. "When you go out there yourself and don't do it ... "
It's a case, then, of do as I say, not as I do.
Short singles
Toughest bowler you've faced: "[Muttiah] Muralitharan, or any left-arm spinner."
Batsman you've most admired: "Two of my idols growing up were AB [Border] and Viv Richards, for quite contrasting reasons. Just the way AB was able to turn around Australian cricket, which lasted for decades, and obviously Viv for his swagger and charisma and his impact on the game. I would have loved to have seen more of Viv Richards play.
"But in the era I've been playing, outside of New Zealand, Ricky Ponting has been one of the most enjoyable to watch. From a New Zealand point of view, Kane Williamson, by the length of the straight, probably."
