New Zealand were 307-8 after at one stage being on track to better 350 before Australia knocked the run charge off line.
McCullum, who retires from international cricket after the Australian series, produced a typical whirlwind innings of 44 off 29 in his last appearance in Auckland and the crowd rose and applauded as he left the field.
But Guptill (90) and Nicholls (61) with a 100-run stand for the third wicket ensured New Zealand had an innings of substance before Australia clawed their way back into the game.
Four wickets fell for 53 runs in 12 overs as the New Zealand middle order fell apart.
After being sent into bat, there was never any suggestion of the 34-year-old McCullum playing for safety against New Zealand's closest rivals in their first ODI since Australia won the World Cup final last year.
But New Zealand had some heart-stopping moments when he put his reputation as a ruthless batsman on display from the start.
For the first eight deliveries he faced, McCullum swung in vain and was repeatedly a whisker from delivering a catch opportunity.
Guptill joined the action hitting Kane Richardson on to the roof of the stadium as New Zealand, having one run on the board after 14 deliveries, raced to 27-0 after 19.
The 50 came up in the seventh over and McCullum appeared untroubled until he tried to drive a yorker from James Faulkner and was bowled to end a swashbuckling innings that included three sixes and five fours.
Eleven deliveries later and New Zealand's most technically correct batsman Kane Williamson was gone without scoring, his first duck in 49 innings, to give Australia confidence and Hazlewood his first wicket.
Glenn Maxwell at point threw down the stumps at the bowler's end and Guptill was gone with his 90 off 76 including five sixes and eight fours.
Nicholls, who is seen as the rising star of New Zealand cricket, forged on to reach 61 off 67 when a loss of concentration saw him top edge Mitchell Marsh to Matthew Wade behind the stumps.
From there New Zealand struggled to the end apart from Mitchell Santner's unbeaten 35 at the tail.
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