The series triumph, which is only New Zealand's second in the Caribbean, was confirmed thanks to a 53-run success in Barbados, and McCullum is confident that there is more to come from the current group of players.
"We're really thrilled with how we've managed to come out of this series with a win," the 32-year-old told reporters. "This series is groundbreaking for this group.
"We're very proud of what we've been able to achieve and I can think of worse places than Barbados to be able to celebrate it.
"We have achieved some special things over the last little while and we are starting to head in some decent places."
The victory is New Zealand's first away from home against one of the ICC's top-eight teams in 10 years.