I was trying to find a shapefile which has Australia and New Zealand together (states) so that I could convert to jVectorMap for ANZ.
Where I can find it?
The Natural Earth website is pretty good for freely available Geographic data, including Country boundaries.
Here is the data for Australia straight from their government's website: http://data.daff.gov.au/anrdl/metadata_files/pa_nsaasr9nnd_02211a04.xml
Here is the data for New Zealand from their government's data portal: http://www.stats.govt.nz/browse_for_stats/people_and_communities/Geographic-areas/digital-boundary-files.aspx
From here you can merge the two shapefiles in QGIS or ArcMap or whatever GIS software you are using.
You could try to use OpenStreetMap data. Global land and water polygons are freely available from http://openstreetmapdata.com/data/land-polygons, a service offered by Jochen Topf. In contrast to the above mentioned Natural Earth dataset OpenStreetMap data is much more detailed and therefore requires more disk space.
the Global Administrative Districts has shapefiles (and geopackages, kmz, etc) for all countries. The most recent release was in May 2018 and this is a high quality, comprehensive, one-stop shop for political boundaries.
The U.S. State Department GeoNode also maintains international boundaries in GIS format,
You can find Shapefile of Australia at https://www.igismap.com/australia-shapefile-download/?utm_source=Gisexchange&utm_medium=Ausshp&utm_campaign=J Download free polygon administrative Shapefile of Australia. It covers local Australian government borders.