After Sri Lankan skipper Kumar Sangakkara won the toss and elected to bat first, the Kiwis skipper tossed the ball to Nathan to open the bowling.
And McCullum gladly obliged; he bowled cleverly to finish with with figures off one for 17 from his three overs.
Besides his bowling, he was quite terrific in the field as well, taking three catches.
But Nathan had saved his best for last.
With Sri Lanka in control of the match after claiming quick wickets, he and Jacob Oram turned the game in their favour with some big hitting.
With New Zealand requiring 10 runs off the final over, Nathan hit Lasith Malinga for a boundary and then finished off the game with a massive six over the long-off boundary to seal victory for New Zealand.
Earlier, Jayawardene steered Sri Lanka to the modest score of 135 for six with his breezy 81.
While his team-mates struggled to score runs on the slow Providence stadium wicket, Jayawardene's innings was a classic example of effortless sensible hitting.
He shared a crucial 59-run fourth wicket stand with debutant Dinesh Chandimal (29) to lay the foundation for the Sri Lanka score.
Shane Bond turned out to be the pick of the Kiwi bowlers as he accounted for two Lankan batsmen by giving away 35 runs.