From mid-October to early February, Real Madrid did not lose a single match.
"The Supercopa won't change anything," he said. "If we lose two matches, I know I will be criticised."
Just under six weeks on from those words, Madrid have now lost two matches in a row and, sure enough, Zidane is being criticised.
The back-to-back defeats have come at a huge cost: Saturday's 1-0 loss away to Levante saw Real relinquish top spot to Barcelona in LaLiga and Wednesday's 2-1 reverse at home to City has left their Champions League hopes hanging in the balance.
From a position of such strength just a few weeks ago, Madrid's entire campaign is now under threat and like last season, could go up in smoke in the space of one fateful week.
On Wednesday night, Zidane's side were unconvincing yet managed – just as they have on so many previous big European nights – to work their way into a winning situation.
Isco's goal on the hour gave Los Blancos the lead and seemed to ensure the post-match narrative would focus on Pep Guardiola's overthinking (after he started with both Sergio Aguero and Raheem Sterling on the bench) and Madrid's supremacy in the Champions League.
"Kings of Europe," the Real fans sang at 1-0, but their team were staring at a second successive last-16 exit less than 20 minutes later after Gabriel Jesus headed an equaliser and Kevin De Bruyne converted from the spot.
To make matters worse for Madrid, captain Sergio Ramos was sent off in the closing stages and the defender will now miss the second leg at the Etihad on March 17.
City's comeback win was deserved: the Premier League champions created better chances and also more than Madrid on the night.
Yet there was still some shock because this was exactly the type of match Zidane's side would have negotiated in his first spell in charge.
"Madrid lose their Champions League magic," Marca said after the game. And not even Zidane could explain what had happened on the night, nor why his side has suddenly suffered a dip in form.
“It’s not a physical problem,” he said. “It’s more about concentration because at the end we made mistakes and mistakes form part of football.
"The only thing we can do is to look at it, try to analyse it well. I can’t say any more. The 10 minutes at the end were very difficult, but before that wasn’t.”
That was not an entirely accurate description, though, and even Zidane (who would not be drawn on whether he saw a foul on Ramos for City's opener) admitted Madrid had taken the lead at their worst point of the match.
With Karim Benzema off the boil, Vinicius Junior bright (he set up Isco's goal) but erratic, Gareth Bale virtually out of the picture and Eden Hazard injured, the goals have dried up for Los Blancos and Zidane's decision to bench Toni Kroos (for technical reasons, he said, despite reports of a minor problem) backfired.
“We have to go there and win," the Frenchman said of the second leg in Manchester. "We know the situation. We have lost an opportunity here, but there is still another we can change.”
But before they can even think of a possible comeback without their suspended captain against one of Europe's top teams, Real return to the Bernabeu for Sunday's crunch Clasico clash against Barcelona.
A loss to Quique Setien's side would see the Catalans open up a five-point lead in LaLiga with 12 rounds remaining, very likely spelling the end of Real's title hopes.
When it was put to him that some fans might not even turn up for Sunday's game, Zidane was defiant. "I hope they come and support us," he said. "We have to move forward."
There is little time to prepare and the Frenchman must now motivate his tired team for a match of special significance which has now assumed even greater importance.
"Madrid stand on the abyss," AS said in a headline which summed up the team's fall from grace.
Just like last season, when defeats to Barcelona (twice) and Ajax condemned Santiago Solari's side in the space of just seven days, Real's season once again stands on the brink of disaster.