England are facing the prospect of a sixth successive defeat and Kay admitted: "We know where we are and that's a long way from where we want to be".
A shock England victory on Sunday would put Andy Robinson's men firmly back on track in the build-up to the next World Cup in France next year.
But Kay knows it could not be a harder opening match in the autumn internationals programme.
"It's a tough start but we have to front up," said Kay. "It would be a big scalp if we can beat New Zealand.
"People say we are not expected to win but there is still a fair bit of pressure on the guys because if we don't win we will get slated again.
"Not so long ago we were setting records at the other end of the spectrum and that's where we want to be.
"Beating New Zealand would be a huge boost to England rugby at the start of what is going to be a tough autumn and would spearhead our challenge to try to win the World Cup again.
"But even if we beat New Zealand we know we still have a long way to go and a lot of work to do."
Kay disputed that being the underdogs will provide an extra spur to the England players.
"If you need motivation like that to play against New Zealand, there is something wrong," he said.
Looking forward to playing in front of an 82,000 crowd at the newly expanded head quarters of English rugby, he added: "It's the biggest crowd we have ever played in front of at Twickenham so it is going to be special."
Head coach Robinson agreed that matches against the All Blacks have an aura about them.
"It's a special performance any time you beat New Zealand. They have always been the front-runners of the international game."
"The key is you have to be in their faces for the whole 80 minutes.
"You can't fear them and you can't sit back and think it's going to happen in the last 30 minutes of the game.