Prime Minister Julia Gillard says she is "sickened" by a report that has found many Australian sportspeople have been taking banned substances and have links to organised crime.
The Australian Crime Commission (ACC) on Thursday identified widespread doping in professional sport, along with possible match-fixing and manipulation of betting markets.
"We are people who go and sit at grounds or watch sport on TV and marvel at amazing sporting prowess," she told reporters.
"We cheer on the deeds, and the sense that anything we've seen has actually been fuelled by banned substances would be pretty sickening for sports fans. It's pretty sickening for me."
Sports bosses have criticised a lack of detail in the report, saying it has tarred all athletes with the same brush.
The New Zealand government on Friday ordered its own reports from three sporting bodies, to determine whether any New Zealanders or teams playing in Australian sports leagues were implicated in illegal practices.
Mr Key said his government was taking the report very seriously.
"We've got no particular reason to believe there are issues, but obviously we play Australasian-type sporting events so, therefore, we can't rule it out."
He said the integrity of sport was very important and if New Zealand sportspeople were taking banned substances or participating in match-fixing, the public would be "shocked, stunned and extremely disappointed".