In November 1996, Zola joined English Premier League club Chelsea F.C. for £4.5m as one of several continental players signed by Ruud Gullit. In his debut season he put in several notable performances and scored a series of memorable goals. In February 1997, after spiriting the ball around Manchester United's defence in the penalty area before slotting the ball past goalkeeper Peter Schmeichel, he was described by United manager Alex Ferguson as a "clever little so-and-so.He was a key player in Chelsea's resurgence that season, helping them win the FA Cup with a 2-0 win over Middlesbrough at Wembley having scored four goals en route to the final, including a 25 yard curling shot against Liverpool as Chelsea came from 0-2 behind to win 4-2, and a "twisted blood" effort in the semi-final against Wimbledon, backheeling the ball and turning 180 degrees before slotting the ball into the net. At the end of the season he was voted FWA Player of the Year, the only player ever to win the accolade without playing a full season in the English league and the first Chelsea player to win it.

In 1997-98 he helped Chelsea win three more trophies, the League Cup, the Cup Winners' Cup and the Super Cup. An injury denied him a place in the starting line-up for the Cup Winners' Cup final against VfB Stuttgart at the Råsunda Stadium in Stockholm, but he came on as a second half substitute and scored the winning goal within 21 seconds. With only his second touch of the game, he struck a through ball from Dennis Wise past goalkeeper Wohlfhart into the roof of the net to secure Chelsea's third major trophy in a year and the second European trophy in the club's history. In the same season Zola hit his first professional hat-trick, in a 4-0 victory over Derby County at Stamford Bridge in November 1997.

When Chelsea made their first appearance in the UEFA Champions League in 1999-00, Zola was a key player throughout, although he found his chances in the league more limited, owing to manager Gianluca Vialli's squad rotation policy. Zola scored three goals in Chelsea's run to the quarter-finals, including a curling free kick against FC Barcelona, and again won the FA Cup with the club, with his free-kick in the final against Aston Villa setting up Roberto Di Matteo's winner. His later years with Chelsea saw his appearances restricted by the new strike pairing of Jimmy Floyd Hasselbaink and Eidur Gudjohnsen, though he did score with a backheeled effort in mid-air in an FA Cup tie against Norwich City, a goal manager Claudio Ranieri described as "Fantasy, magic.In 2002-03, his final season with Chelsea, he enjoyed a renaissance, scoring 16 goals, his highest seasonal tally for Chelsea, and was voted the club's player of the year after helping Chelsea qualify for the Champions League.

Zola scored his final goal for Chelsea, a lob from outside the penalty area against Everton, on Easter Monday 2003, and made his final competitive appearance for the club on the final day of the season with a 20 minute cameo against Liverpool. He played in a total of 312 games for Chelsea and scored 80 goals. In early 2003, Zola was voted as the best ever Chelsea player by Chelsea's fans. In November 2004, he was awarded an OBE - Honorary Member of the Order of the British Empire in a special ceremony in Rome.In 2005 Zola was voted into the Chelsea FC Centenary Eleven, occupying one of the two forward roles.