The hosts, playing in their first final for 27 years, will start as favourites against the 2015 runners-up.
"It would mean everything to win it," England captain Eoin Morgan said.
"The good faith, support and enthusiasm we've been shown in the tournament has been brilliant. It's a huge privilege to play in a World Cup final."
Morgan's men will be looking to emulate the England women's team, who won the World Cup on the same ground two years ago.
They will do so at the end of a tournament which has taken in 11 venues across England and Wales and been watched by more than 675m people worldwide.
The final, beginning at 10:30 BST, will be broadcast on BBC Radio 5 Live and Radio 4 LW, with in-play highlights on the BBC Sport website.
As well as TV coverage on Sky Sports, it will be shown free-to-air on Channel 4 and More 4.
"It is an opportunity to win the World Cup, but also an opportunity to sell this great game that we love on a huge platform," said Morgan.
England's run to the final is a remarkable turnaround, given both their short-term and long-term World Cup history.
From reaching the most recent of their three finals in 1992, they had not won a World Cup knockout match until Thursday's semi-final victory over Australia.
Amid a catalogue of World Cup failures, the worst was arguably four years ago, when they were dumped out in the first round.
Since then, they have climbed to the top of the one-day international rankings through a renewed focus on limited-overs cricket.
Off the field, former England director of cricket Andrew Strauss took steps to put greater emphasis on the one-day side with the stated aim of winning the World Cup, while on the field, Morgan has encouraged his team to play with freedom, with the outcome being some spectacular performances, particularly with the bat.
Of the transformation, Morgan, who was also captain in 2015, said: "When you look back four years ago, it's incredible. It's two different teams, really, in the way we play.
"Guys embrace every challenge we come up with, whereas before we might have shied away from it.
"We really look forward to big games or big moments in games. One of those is tomorrow, and we're excited about it."
Even though they began the tournament as the number-one ranked side, England have not had a straightforward passage to the final.
Back-to-back group-stage defeats by Sri Lanka and Australia left them on the verge of being eliminated.
They responded with wins against India, New Zealand and a phenomenal semi-final performance to hammer Australia.
"We've gone from strength to strength since the India game," said Ireland-born batsman Morgan.
"Probably the best we've played was in the last game against a very strong Australia team. It's great because it means we go into the final feeling quietly confident."
England beat New Zealand by 119 runs in their final group game just over a week ago, only for the Black Caps to then stun India in the semi-finals.
They too are looking to win the World Cup for the first time, having being swept aside by Australia in their only final four years ago.
On being regarded as underdogs in the final, New Zealand captain Kane Williamson said: "A lot of people have said that on a number of occasions, which is great. England rightly deserve to be favourites.
"Heading into this tournament they were favourites and they've been playing really good cricket.
"Whatever dog we are, it's important we focus on the cricket we want to play. It's shown over the years that anybody can beat anybody, regardless of breed of dog."
Both teams are likely to be unchanged from their semi-final wins. England batsman Jonny Bairstow required treatment on a leg at Edgbaston, but will be fit to play.
Likely line-ups
England: Jason Roy, Jonny Bairstow, Joe Root, Eoin Morgan (capt), Ben Stokes, Jos Buttler (wk), Chris Woakes, Liam Plunkett, Adil Rashid, Jofra Archer, Mark Wood.
New Zealand: Martin Guptill, Henry Nicholls, Kane Williamson (capt), Ross Taylor, Tom Latham, Jimmy Neesham, Colin de Grandhomme, Mitchell Santner, Matt Henry, Lockie Ferguson, Trent Boult.
Weather forecast
The weather looks good for Sunday's World Cup final. Although it may start out cloudy with a little light drizzle first thing in the morning, rain isn't likely to cause any interruption to play at all. Most of the day should be dry, with sunny spells breaking through by the afternoon. The wind will be light and temperatures will climb to around 20C.
How's stat?!
England have won seven of their past nine ODIs against New Zealand, including a 119-run victory in the group stage of the World Cup.
Before England's triumph over New Zealand in this tournament, they had not beaten the Black Caps in the World Cup since 1983, suffering five consecutive defeats.
This will be England's seventh World Cup match at Lord's. They have won four of their previous six games but lost their solitary fixture at this venue in this World Cup (a 64-run defeat by Australia).
England have played one more match than New Zealand at this year's World Cup (India v New Zealand in the group stage was abandoned), yet England have still hit more than 1,000 more runs than the Black Caps, including 100 more fours and 53 more sixes.
The team winning the toss have lost four of the past five World Cup finals, Australia's win over Sri Lanka in 2007 the exception.