Zidane, who was unveiled as Santiago Solari's replacement on Monday, was all smiles as he began by addressing the whole squad, before putting them through a series of exercises involving pressing, possession and small-sided games.
Captain Sergio Ramos, who was involved in a heated argument with the club's president Florentino Perez last week, was in action, as was Gareth Bale, whose relationship with Zidane deteriorated during the second half of last season.
Madrid have 11 games left in La Liga, and sit 12 points behind leaders Barcelona, with Zidane's first match in charge coming at home to Celta Vigo on Saturday.
As well as Bale, Zidane will have to decide whether to reintegrate Isco, who did not start a single league game under Solari, and Marcelo, who lost his place at left-back to Sergio Reguilon.
Vinicius Junior, Lucas Vazquez, Dani Carvajal and Marcos Llorente were all absent from the session as the quartet continue to recover from injuries.