Unfortunately it came at the U.S. Open where the 20-year-old was being widely-tipped as a potential champion.
That defeat by Next Gen player Borna Coric of Croatia was a jolt, but with five of his six ATP titles arriving this season it is easier to look at the positives as he sets his sights on his debut at the ATP Finals in London next week.
"Playing in the ATP Tour Finals is like winning a tournament already," Zverev told reporters after playing an exhibition at the Next Gen Finals this week in Milan, having pulled out to concentrate his efforts on London.
"Qualifying for London shows that you have been playing at a top-10 level the whole year."
Zverev, who has his older brother Micha for company in the higher echelons of men's tennis, will be in the same group as 19-times grand slam champion Roger Federer next week.
He will open against Wimbledon runner-up Marin Cilic.
"It's an honour to play there in London, it's my first time and hopefully not my last and I will try to prepare myself as well as I can and try to win many matches there," he said.
"It's completely different because you play one of the top eight in the first match, so that's something very special and you have to play your best from the early rounds.
"Top players usually try to play themselves into tournaments, like I did in Washington and Montreal where I won 7-6 in the third (in the first match).
"It'll be an amazing experience."
Nothing is likely to phase the six-foot-six-inch Zverev though as he has already shown scant regard for reputation this year -- claiming two Masters 1000 titles in stunning fashion, winning 54 matches and pocketing nearly $4 million in prize money.
"Rome was amazing for me because it was also on clay and beating someone like (Novak) Djokovic (in the final) is very tough. That title meant the most to me because it was on clay."
He also beat Federer in the Montreal final.
"To beat Djokovic and Federer in finals, that's very special for anyone," Zverev, who pushed Rafael Nadal to five gripping sets in the third round of the Australian Open, said.
Zverev is the youngest player to qualify for the ATP Finals since Juan Martin del Potro in 2008.
(Reporting by Martyn Herman; Editing by Toby Davis)
