Published: 2019-09-06 23:01:24 BdST
Chasing 126 runs to win, New Zealand openers Colin Munro and Tim Seifert scored 15 in the opening two overs before captain Malinga rattled Munro's leg stump for his 100th Twenty20 international wicket.
Malinga removed Hamish Rutherford and Colin de Grandhomme in his next two deliveries to claim his second hat-trick in the format before trapping Ross Taylor leg-before for his fourth in the over.
Seifert became Malinga's next victim as the wicketkeeper-batsman edged an outswinger to first slip, leaving New Zealand's lower order exposed at 23 for 5.
The 36-year-old paceman finished the evening with 5-6 in his four overs.
The first time Malinga claimed 'four in four' was against South Africa during the 50-overs World Cup in 2007.
Malinga had dismissed Shaun Pollock, Andrew Hall, Jacques Kallis and Makhaya Ntini but it was all in vain as South Africa clinched a last-gasp win.
Yet Malinga was not to be denied this time as spinners Akila Dananjaya and Lakshan Sandakan cleaned up the lower order to bowl out New Zealand for 88, handing Sri Lanka a 37-run victory.