Zauri made his debut in Serie A in the 1996–97 season with Atalanta in a 4–0 loss at home to Roma.

Zauri played a pivotal role in helping the club reach the 2007–08 UEFA Champions League and scored his first goal in the competition in the 1–1 draw to Olympiacos.

Zauri returned to Lazio on 1 July 2010 and played a few friendlies for the club as full-back Aleksandar Kolarov was sold.

On 5 June 2019, Zauri was announced to have been promoted as the new head coach of Pescara, taking over from Giuseppe Pillon.

[13] On 6 April 2022, Zauri returned to Pescara, this time in Serie C, replacing outgoing manager Gaetano Auteri.

[14] On 25 April 2023, he was announced as Head Coach of Ħamrun Spartans, replacing outgoing manager Branko Nišević.

[15][16] With the club, he won a Maltese national title in 2024, after which he opted to depart in order to move back to Italy.