First up are Bangladesh and the Black Caps skipper is excited about it.
"Should be a tough tourm, mate," McCullum told IANS at a get-together at the New Zealand high commission here before leaving for Dhaka.
McCullum was given charge of all three formats in December after Ross Taylor refused the split captaincy proposal by chief coach Mike Hesson and stayed away from the tour to South Africa.
The Black Caps have done reasonably well since the change of guard, winning one-day series in England and South Africa. They also drew a three-match Test series with England at home on return from South Africa.
Rankings, however, suggest New Zealand are struggling in the pecking order. They are eighth in Tests and seventh in ODIs. McCullum says the team is keen to climb up the ladder.
"There were obviously interesting circumstances when I was made captain. I looked at the scenario at that time and thought it was the right thing to do. It was time for a leadership change and to try to get the team out of the doldrums, so to speak."
"Last few years, we have not been where we should have been. But now in the short space of time, we have played some good cricket. We have challenged better teams. We might not have the depth in the side but definitely have quality," said the 32-year-old.