Real Madrid centre-back Sergio Ramos remains a doubt for Sunday's Bernabeu clash with freefalling Sporting Gijon, with Wales forward Gareth Bale also missing training on Wednesday.
Club captain Ramos has been regularly troubled by different fitness issues over the last 12 months, and was substituted at half-time in Zidane's first game in charge, last Saturday's 5-0 home win over Deportivo La Coruna.
Reports after that game said the Spain centre-back had suffered a minor calf muscle strain, an issue not serious enough to stop him picking up a trophy for being named in the FIFPro World XI at Monday's Ballon d'Or gala in Zurich.
Bale also sat out a group session last week, Zidane's first after replacing Rafa Benitez as coach, amid speculation he was unhappy at his former dressing-room ally being fired.
A few days later the €100 million summer 2013 signing from Tottenham scored his second hat trick in four games against Depor, received a standing ovation from fans at the Bernabeu, and said afterwards he was happy "for the moment" at Madrid.
A club statement did not give any new details on either Ramos or Bale's fitness situation.
"The week of training sessions continues at Real Madrid City as preparations ahead of Sunday's clash against Sporting (16.00 CET) gather pace," the statement said. "Zidane's charges completed a tough workout which included both physical and ball work.
"The Real Madrid coach called up the following Castilla players for the session: Carlos Abad, Martin Odegaard, Marcos Llorente and Borja Mayoral. Both Bale and Ramos trained indoors."
Zidane has no other fitness worries ahead of the weekend, and also welcomes Mateo Kovacic back from the suspension which saw the Croatia midfielder miss the Depor game.