Bosses at the venue say the incident happened in the mixed species African habitat at about 2pm today.
Colchester Zoo says it is “making sure” the rest of the animals in the habitat are “settled” following the “extremely rare” incident and that it is “devastated” by the loss.
A full statement reads: “At approximately 2pm today (Jan 10) there was an incident in our mixed species African habitat between a rhino and our male zebra and sadly the zebra has died.
“At this time we are directing our resources to make sure the rest of the animals in the habitat are settled.
“These sorts of incidents are extremely rare and we will continue to monitor the situation over the next few days.
“We are devastated by this loss and thank you for your understanding and support at this time.”
The Kingdom of the Wild habitat, which opened in 2002, is home to a range of different African species including zebra, giraffe, ostrich and rhinos.
One witness to the lead up to the incident said: “So sad to read this. We were at the zoo today. Literally just seen the rhinos and zebras chasing as we headed inside.
“We were asked to make our way to the exit to clear the area, not having a clue what had happened.
“Staff were amazing and acted very professionally under such awful circumstances. Our thoughts are with you all.”
Another witness said: “We knew it had to be something serious, however every member of staff handled it so well especially now looking back knowing the circumstances.”
Mayor of Colchester and councillor for Stanway, Lesley Scott-Boutell said: “In all the time I’ve lived in Stanway, I haven’t ever heard of an incident like this at the zoo – I’m incredibly shocked and saddened by this.
“The keepers will be so upset as these are their animals.
“They will obviously have to investigate and I’m confident it will be fully investigated in the best way possible.”