Southee said the Black Caps were relishing the opportunity of playing in their maiden World Cup final - a match that will also mark New Zealand's first appearance at the vast Melbourne Cricket Ground in six years.
New Zealand are the form side of the tournament having won all eight of their matches at this World Cup, a sequence that includes two dramatic clashes in Auckland - a one-wicket win over Australia in the pool phase and Tuesday's semi-final defeat of South Africa sealed by Grant Elliott's six off the second-last ball.
Australia captain Michael Clarke reckons his side's knowledge of playing at the MCG will be a major factor in the final as the home team chase a fifth World Cup title following their emphatic 95-run semi-final victory over defending champions India in Sydney on Thursday.
But that doesn't wash with Southee, who has claimed 15 wickets at 27.13 in the tournament and formed a potent new-ball combination with left-armer Trent Boult, the tournament's leading bowler with 21 wickets at 15.76.
Former Australia opener Matthew Hayden suggested the sheer side of the MCG for a New Zealand team who'd played all their previous matches at this World Cup on their own, much smaller grounds - sparking a tide of derisive comments on social media from Black Caps fans.
'Not worried about the size of MCG'
But Southee told reporters at the MCG on Friday: "We are not too worried about the size of the ground. It's a dream come true for all the guys. This is as good as it gets, taking on Australia in Australia on one of the best cricket grounds in the world."
Veteran left-arm spinner Daniel Vettori has more experience of the MCG than his New Zealand team-mates, having played there seven times since 1997, while skipper Brendon McCullum and Ross Taylor have played there twice with Martin Guptill, Grant Elliott, Southee and Kyle Mills all having had one MCG appearance each.
All seven played in New Zealand's last visit to the ground, when they beat Australia by six wickets in 2009. "We haven't played here for a long time. We have good memories from that (2009) game as well," Southee said.
"A lot of the guys have played in front of pretty big crowds in India. There will be close to 100,000 people screaming (on Sunday). "It will be interesting to see what it's like here."
Southee added: "The rivalry between Australia and New Zealand does pretty much cover every sport and it is massive.
"We're probably seen as the 'little brothers from across the ditch' and we do quite well in other sports (such as both rugby codes) to compete. "Australia have had the wood on us over the last couple of years in cricket.
'Bit of swing would be nice'
"As a kid growing up it was always Australia that you wanted to play against...You're always wanting to have one-up over the 'big brothers'."
Boult was the destroyer with five for 27 when the Black Caps beat Australia in Auckland during the pool stages on February 28, while Southee grabbed a career-best seven for 33 in the celebrated win over England in Wellington.
"To do what he's done over the last couple of months has been amazing," Southee said of Boult. "We do have a great partnership.
"A bit of swing would be nice. It hasn't swung for us in every game but we've found ways to take wickets. "If it does swing we do become a big more dangerous."
The MCG is also etched deep in New Zealand's sporting psyche as it was where the infamous 'underarm' delivery took place in 1981. To prevent New Zealand from having any chance of scoring the six they needed to tie, Australia captain Greg Chappell instructed younger brother Trevor to bowl the last ball underarm along the ground to Brian McKechnie, who hurled his bat away in disgust at Australia's lack of sportsmanship.