Zauri made his debut in Serie A in the 1996–97 season with Atalanta in a 4–0 loss at home to Roma. He spent the following season with Chievo Verona before returning to Bergamo with Atalanta in the 1998–99 season. Zauri then spent the following five seasons with Atalanta, three of which were in Serie A and two in Serie B.
In 2003, following Atalanta's relegation, Zauri, along with teammate Ousmane Dabo, was sold to Lazio, Lazio paid €5.65 million to acquire Zauri. With Lazio, Zauri won the 2003–04 edition of the Coppa Italia. He became a regular at Lazio and evolved into a leader on the pitch. In January 2007, following the sale of World Cup winner and captainMassimo Oddo to Milan, Zauri was chosen as the new captain. 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. His contract with Lazio expired in the summer of 2007, and then he was offered a new 5-year contract and eventually re-signed with the club. In the summer of 2008, he was loaned to Fiorentina with the option to buy out the player. He played all 10 European matches for Viola.
Sampdoria
On 10 July 2009, Zauri moved to U.C. Sampdoria on a loan deal with the option to buy out the player. He played in the right-back position ahead Marius Stankevičius but sometimes moved to left-back, likes the 0–2 lost to ACF Fiorentina in September, ahead Reto Ziegler as left-back and Stankevičius as starting right-back. Zauri returned to Lazio on 1 July 2010 and played a few friendlies for the club, as full-back Aleksandar Kolarov was sold. Sampdora loaned him in again on 19 August. As a consequence Stankevičius was loaned to Valencia from Genoa.
During the 2013 wintertransfer window, Zauri joined Pescara. At the end of the 2013–14 season, he retired from professional football. In total he 432 appearances throughout his career, including 301 in Serie A, scoring seven goals.
After retirement, Zauri entered into coaching as assistant to Massimo Oddo at Pescara. After Oddo's dismissal from the club in February 2017, he served as caretaker manager for three days as the club searched for a replacement, without taking charge of any games during this period. He left Pescara on 17 February 2017, following the appointment of Zdeněk Zeman as new head coach. He successively returned to Pescara, serving as Under-19 coach in the 2018–19 season. On 5 June 2019, Zauri was announced to have been promoted as the new head coach of Pescara, taking over from Giuseppe Pillon. He resigned as head coach on 20 January 2020, following a loss to Salernitana.
