The Bravehearts, who entered the tournament with just one World Cup victory to their name, are one of only three unbeaten teams in the last eight but they will need to pull off the biggest shock the sport has ever seen if they are to stay alive.
McCormack is acutely aware of the size of the task but believes the momentum his side has built since shocking Tonga in their opening group match will stand them in good stead in Friday night's first quarter-final in Leeds.
"I think it's the biggest challenge in sport really, for me," he said after Scotland captain's run at Headingley.
"Rugby league is one of the toughest sports you can play and we're playing against the world champions.
"But we've always been underdogs throughout the years and in this game we're probably bigger underdogs than ever before.
"But these players will give absolutely everything, they'll give their last drop of energy, as they have done in their previous games.
"If you do that, you've always got a chance. We're not just here to make the numbers up. We're aware of the challenge, it's massive, we're not daft.
"But in sport shocks happen and, if New Zealand have an off day and we perform exceptionally well, who knows what can happen?"
One of the biggest threats will come from former All Black Sonny Bill Williams, whose first-half hat-trick destroyed Papua New Guinea at Headingley in last Friday's final group match.
Asked if he had allocated a specific role to one of his players to target the silky skills of Williams, McCormack replied: "Yes, 13 of them.
"We've looked at what New Zealand do and we've looked at individuals within their camp.
"We've looked at strategies that may work against them. They're an outstanding team, very well coached, with big, powerful units. They are everything you want from a rugby league team.
"There are not many weaknesses in the New Zealand team but hopefully we've identified a couple."
Scotland, whose place in the knockout stages was only confirmed when Tonga beat Italy on Sunday, have lost second rower Dale Ferguson through suspension and suffered an injury scare when threequarter Alex Hurst limped out of the captain's run.
"He had a slight twinge and came off as a precaution," McCormack said. "Hopefully he'll be okay. If not, it gives someone else a chance."
New Zealand will make a late check on winger Manu Vatuvei, who has a slight knee injury, while Kevin Locke gets the nod ahead of Josh Hoffman as coach Stephen Kearney continues to wrestle over his first-choice full-back.
However, Kearney insists he does not regard the Scotland game an opportunity to experiment and has warned his players to prepare for a fired-up Bravehearts side.
"We've done all our experimenting," he said. "I think that would be disrespectful to the Scottish side.
"I've asked the lads to put themselves in their shoes this week and imagine how they'd be feeling and how they'll have been training after they got the result from the Tonga match.
"We have to be really mindful of how up for it they're going to be."
Kearney is well aware of the threat posed by Scotland captain Danny Brough, the reigning Man of Steel who was a team-mate of his when they won the Challenge Cup with Hull in 2005.
"I knew Broughy always had talent," Kearney said. "I could see that from the year that I spent with Hull FC.
"Where he got to was within his hands but he certainly had the talent to be able to achieve what he's achieved so far.
"I'm really pleased for him. We've bumped into each other a couple of times already.
"He's a good lad but I'm hoping he doesn't have too good a game tomorrow night."