Chris Ogle, 29, bought the $10 MP3 at a thrift shop in Oklahoma but when he plugged it in discovered it contained 60 U.S. military files, said New Zealand television program One News which broke the story.
The files contained the names and personal details of American soldiers, including ones who served in Afghanistan and Iraq, as well as information about equipment deployed to bases and a mission briefing, said One News.
Some files contained active mobile telephone numbers and social security numbers of military personnel.
U.S. embassy officials in New Zealand spoke to Ogle on Tuesday night and swapped his old MP3 player for a new one on Wednesday, New Zealand Press Association said.
Ogle said the officials asked him what computers the player's files had been loaded onto and whether he had made copies and then photographed some of the files, but would not say how sensitive the information was.
"They asked where I'd bought it from, the timeframe that I bought it in," Ogle said.
(Reporting by Michael Perry; Editing by Bill Tarrant)