The hosts dominated from start to finish but were unable to convert their superiority into goals and will likely be the more disappointed of the two teams with the result, knowing they need to get something in Wellington in the second leg on November 14.
Bahrain produced the first of many chances in the 20th minute when striker Jaycee John fired wide from outside the area.
Husain Ali shot into the side-netting five minutes later after doing well to break through the All Whites' defence.
Milan Macala's side had their best chance of the first half in stoppage time when Salman Isa charged down on goal and struck a shot from the edge of the area that went narrowly wide.
Bahrain continued in the second half much as they had finished the first and had another chance in the 54th minute when Isa broke down the left before sending a pass to John but the 24-year-old blasted over from close range.
The hosts should have grabbed a crucial goal midway through the second period when Isa sprung the offside trap, broke into the box and beat goalkeeper Mark Paston but saw his powerful shot smash against the left upright.
Bahrain twice had good opportunities to snatch a late goal when Mohamad Hubail's fierce effort was parried to safety by Paston before Sayed Mohamad Adnan fired an effort from outside the area over the bar as New Zealand successfully kept their opponents at bay.