Zidane insists that the LaLiga title is the club's main priority.
"We want to win everything but the league is the most important competition, because there are 38 games and you have to win almost every game," he said.
"Last year we lost by one point despite winning 12 straight games at the end."
It is a point that was reaffirmed by Gareth Bale after his match-winning exploits for Wales during the international break.
He said: "It's important that we win LaLiga, it's something we haven't won in a long time so that's our objective.
"However, obviously we are aiming to win everything and we believe we are strong enough. I'm excited to play Osasuna this weekend, they'll make things different for us but it'll be great because the whole team is in good form."