In 2001, Zidane joined Real Madrid for a then world record fee of 150 billion Italian lire (about €75 million) and signed a four-year contract. He scored a famous match-winning goal, a volley hit with his weaker foot, in Madrid's 2–1 win over Bayer Leverkusen in the 2002 UEFA Champions League Final completing his personal quadruple. The next season, Zidane helped Real Madrid to win the 2002–03 La Liga and was named the FIFA World Player of the Year for the third time. In 2004, fans voted him as the best European footballer of the previous 50 years in UEFA's fiftieth-anniversary Golden Jubilee Poll.

While Zidane's final season of club football ended trophyless, he enjoyed success on a personal note recording the maiden hat-trick of his career, scoring thrice against Sevilla FC in a 4–2 win in January 2006.  He ended the season for Real Madrid as their second highest goal scorer and assists provider behind teammates Ronaldo and Beckham respectively, with 9 goals and 10 assists in 28 games. On 7 May 2006, Zidane, who had announced his plans to retire after the 2006 World Cup, played his last home match and scored in a 3–3 draw with Villarreal CF. The squad wore commemorative shirts with ZIDANE 2001–2006 below the club logo.