Marsh clubbed a T20 career-best 92 not out off 49 balls as Australia piled up 226 for six after being sent in.
Tim David hit 64 off 28 balls in a fifth-wicket stand of 97 off 50 deliveries with Marsh.
Australia went on an all-out attack, with Marsh slamming 20 runs off the second over, bowled by Lungi Ngidi.
New cap Matt Short made 20 in an ultra-aggressive second-wicket partnership of 63 off 26 balls with Marsh.
There were 11 sixes in the Australian innings, with both Marsh and David hitting the ball out of the ground and into a road over Kingsmead's old main stand on the leg side.
The Australian onslaught meant that South Africa needed to mount a record second-innings chase.
Brief scores:
Australia 226-6 in 20 overs (M. Marsh 92 not out, T. David 64; L. Williams 3-44)
Toss: South Africa
Match situation: South Africa need 227 runs to win
