Prior to his studies in Brussels, his teachers were László Dénes, Péter Komlós and Jozef Kopelman in Budapest.

In addition, Zalai has attended masterclasses with Isaac Stern, Pinchas Zukerman, Erick Friedman, Tibor Varga, Lewis Kaplan and György Pauk.

At age 15 he gained international recognition by performing the Bartók Violin Concerto No.1 at Lord Yehudi Menuhin's 80th anniversary tribute gala concert at the Grand Hall of the Franz Liszt Academy of Music in Budapest on 1 October 1996.

In the development of his career, Zalai has enjoyed collaborations with eminent conductors such as Fabio Luisi, Paavo Järvi, Yoel Levi, Lawrence Foster, Gilbert Varga, Shlomo Mintz, Ludovic Morlot, Laurent Petitgirard, Enrique Bátiz Campbell, Yip Wing-sie, and Gábor Takács-Nagy.

In April 2010 Zalai made his Viennese debut in the Vienna Symphony's "Frühling in Wien 2010" gala concert conducted by Fabio Luisi in the Wiener Musikverein.