Zaccheroni was appointed manager of Udinese in 1995. The 1996–97 season saw Udinese qualify for the UEFA Cup. In the following season, they managed a 3rd place finish behind champions Juventus and runners-up Inter, largely thanks to Oliver Bierhoff’s 27 goals.

The following season was less successful for Zaccheroni as Milan crashed out of the Champions League early, and, despite finishing 3rd in Serie A, were never really in the running for the title. The 2000–01 season was even worse for Zaccheroni and would be his last in charge, as Milan had a poor run in the Serie A, at one time finding themselves barely above the relegation zone (eventually they finished 6th); in the Champions League they had a good start in the First Group Stage, topping their group (which included Barcelona, Leeds United and Beşiktaş), but were eventually eliminated in the Second Group Stage. As the Champions League Final was about to take place at the San Siro, the backlash was immense, and this led Berlusconi to sack Zaccheroni and replace him with caretaker manager Cesare Maldini on 14 March 2001, one day after Milan’s elimination from the Champions League.

After two seasons without a job, he was linked with a move to England in the vacant manager’s post at Crystal Palace. These rumors never came to fruition. He did, however, become the new head coach of Torino on 7 September 2006, the 100th anniversary of the team, replacing Gianni De Biasi, fired by chairman Urbano Cairo three days before the start of the new season despite having led the team to instant promotion from Serie B. However, despite a good start, Zaccheroni was not able to bring Torino to the top positions in the league table and even suffered a worrying sequence of six consecutive defeats, which led chairman Cairo to sack him on 26 February 2007, and reinstate De Biasi at the helm of the granata.

On 29 January 2010 he was appointed to replace Ciro Ferrara as head coach of under-crisis Juventus. He signed a four-month contract. On 14 February 2010, Zaccheroni achieved his first win as a Juventus manager, defeating Genoa 3–2. His first loss in charge of the team arrived two weeks later, a 0–2 home defeat to Palermo.

On 30 August 2010, it was revealed via an announcement from the Japan Football Association that Zaccheroni would become the new manager of the Japan national football team. However, due to a visa problem, he was not able to take charge in the first two matches against Paraguay (1–0) and Guatemala (2–1), in which former Japan striker and JFA technical director Hiromi Hara took charge. The first match he took charge, Japan had a historic 1–0 win over Argentina.

He led Japan to become the first nation to qualify for the World Cup finals in Brazil after their 2014 FIFA World Cup qualifying football match against Australia in Saitama on 4 June 2013. Japan opened their campaign at the World Cup with a 2–1 defeat to Ivory Coast, where they led the match until 64 minutes. In the next match, Japan faced Greece, which ended 0–0. They were eliminated in the group stages after a 4–1 defeat to Colombia and finished fourth with one point. At the end of the tournament, Zaccheroni resigned as the manager of Japan.

On 19 January 2016, Zaccheroni was appointed manager of Chinese Super League club Beijing Guoan on a two-year contract. But after a dismal start to the season in which Guoan picked up just nine points in their first nine games of the season, combined with the team scoring just seven goals in their first nine games and growing discontent among fans, Zaccheroni was fired.

On 16 October 2017, Zaccheroni took over the United Arab Emirates national football team. The team in January 2018 finished as the runner-up in the 23rd Gulf Cup. In January 2019, Zaccheroni led the national team to the semi-final of the Asian Cup which was hosted by the United Arab Emirates. After the 4–0 defeat against Qatar in semi-final, Zaccheroni left his position as UAE head coach as his contract with the UAE was set to expire at the end of the 2019 AFC Asian Cup.