He told BBC Radio Stoke: "He [Zola] has shown he can be a top manager, he's done a brilliant job.
"When he first came in they weren't sure whether they'd be in a relegation battle or end up where they are now, so he's done really well."
After spending five-and-half-years at Upton Park, Etherington made just one appearance for the Hammers in his last three months with the club, but said he was not forced to leave.
"It wasn't a case that I wasn't in his [Zola's] plans," said Etherington.
"I sat down with him, and it was just time for me to move on, and I know I've made the right move.
"I never fell out with the club, I like to think I repaid them and helped them to get into the Premier League. I might get a few boos, and if I do, then so be it."