Liam Plunkett brought England back in the game by knocking over the two set batsmen for New Zealand.
He has plucked out Kane Williamson and then now has Liam Plunkett. Plunkett is the man for Morgan - bowls a length ball, asks Nicholls tries to drive it through covers, but is not close to the pitch of the ball and a thick edge ensues and ball crashes into the stumps.
Another huge blow dealt and England are back dominating proceedings.
NDTV adds: Earlier in the match, England removed opener Martin Guptill as New Zealand struggled to 33-1 off the first 10 overs in the World Cup final at Lord's on Sunday.
New Zealand captain Kane Williamson, just as he had done in his side's shock semi-final victory over India, batted first after winning the toss in overcast conditions.
A green-tinged pitch also promised to give England's pacemen some early assistance in a match where both sides were looking to win the World Cup for the first time.
"It's a tough decision -- it's a bat first surface but if you look above, it adds confusion," Williamson said at the toss.
New Zealand opener Henry Nicholls was still on nought when given out lbw to Chris Woakes, who had started the match with a wide.
Early morning showers meant the start of play was pushed back until 10:45 am (0945 GMT). England have been in the final three times but have never won the trophy while New Zealand were beaten finalists in 2015.