The Kiwis were beaten to a place in the finals of the tri-series by England on Tuesday, with Michael Vaughan's side booking a three-match contest against world champions Australia after a tense 14-run victory in Brisbane.
Fleming, whose side also face the Australians in the three-match Chappell-Hadlee series starting in Wellington on Feb. 16, said his side had lost the mind games against their tri-series opponents.
"Every facet of our game is so close. There's little mistakes that creep in, pressure that's exerted and we fold," Fleming told reporters after the loss at the Gabba.
"At least we have three guaranteed games against Australia which are extremely important before we get to the World Cup and if we don't get a little bit of confidence in the tank it will continue."
Fleming had wanted to use six consecutive matches against Australia as preparation for their Caribbean campaign, but the Black Caps found England's total of 270 for seven too much in a tense run chase in Brisbane.
"It's a big setback. Six games against Australia would have been great," Fleming added.
"With the ball we're not quite nailing it and bowling one four-ball an over and with the batting we're getting close to having a winning partnership then there's a runout or a mishit.
"We've got to find that extra piece then we'll have a real chance in the Caribbean."
New Zealand open their World Cup campaign with the Group C match against England in St Lucia on March 16.
