Cox was managing director of Brown-Forman wines in Europe until June 2008, when he left the business as part of a restructure of its wines and spirits operation. He had set up the wine division 13 years before.
His role at NZW will be to drive growth of New Zealand wines in the UK and developing European markets.
Cox takes over from Warren Adamson, who is due to leave NZW next month to take up a new role as European sales director for Craggy Range Vineyards.
NZW global marketing director Chris Yorke said: "In David we have an extremely experienced professional, with a great knowledge of the trade both here and in Europe. David's experience will help us to grow markets, building further on the fantastic work that has been done to date by our UK-based team led by Warren Adamson.
Cox said: "Becoming the head of Europe for New Zealand Winegrowers really is a dream job for me. New Zealand is in a fantastic place in this market already, but we can take it to the next level, broadening the appeal of New Zealand wines to a greater number of wine drinkers, while retaining and enhancing further its premium image. I am really keen to explain to wine consumers all the discoveries they can make with New Zealand wines."
Cox's brother Michael is the high profile UK director of Wines of Chile.