The opener played an integral part in England's run chase as he thrashed 78 off 44 balls before Jos Buttler and Joe Root saw them home in style to book a place in the final for the first time since their World T20 success in 2010.
After the thrilling win, the Surrey batsman was almost lost for words but revealed that the win is one of his most memorable to date.
"I don't think the boys realise what they have achieved," he said.
"Just to be in a World Cup final at Eden Gardens in India, it's going to be a special experience.
Amazing team performance. On to the next one.. pic.twitter.com/cW1xxm1Gdl
— Eoin Morgan (@Eoin16) March 30, 2016
"It's the most mind-blowing experience of my life to date, that performance is up there with one of my greatest achievements, so I'm just super happy for the lads to get that experience on Sunday."
New Zealand were restricted to 153 for eight after a blistering start saw them reach 89 for one after 10 overs but England's bowlers, particularly Ben Stokes and Chris Jordan, regained control of the semi-final.
The duo helped England concede just 20 runs from the last four overs, as both men also played prominent roles with the ball in their must-win group game against defending Sri Lanka and Roy feels their hard work in practice is finally paying dividends.
"They were outstanding," Roy added.
"Both guys have been practising their skills more than anyone else in practices so now they're reaping the rewards on the pitch."
Roy believes England's approach and confidence during the tournament has been pivotal in bouncing back from their defeat to West Indies in their opening match.
"The whole team have got that kind of licence and that opportunity to go out there, do what they want and play freely with our skills," Roy said.
"I just looked at the runs that we needed and knocked them off. Obviously if you let the occasion get to you then it can be to your detriment so I just went out there and gave it a crack.
"I went out there and tried to get the team off to a good start and it came off for me tonight and we won quite well."
England captain Eoin Morgan echoed the opener as they he credited the team's hard work to reach the final.
"It's the kind of thing you dream of as a kid," Morgan added.
"Everybody in that changing room has worked tremendously hard and made all of the sacrifices in order to put us in this position.
"Looking back into the West Indies game, we ran into an in-form Chris Gayle who's very difficult to stop.
"Since then we have taken the positives from the game and game after game we've played the most confident we've played and hopefully we can take that into the final."