Through various flashbacks and information given in the 'X' series, it is revealed the Zero was the last creation built by the infamous Dr. Wily. Not much else is known about this early time in Zero's existence until his encounter with Maverick Hunter Sigma. The Maverick Hunters located a 'powerful red maverick' and Sigma moved in to take him out. During the fight, a 'W' (representing Dr. Wily) appears on Zero's head, which caused him pain and immobilized him. Sigma crushed Zero's helmet jewel, which knocked Zero out. Zero became a Maverick Hunter (likely due to being reprogrammed) and ultimately took the new Maverick Hunter X under his wing.
Unlike other Maverick Hunters, Zero does not have a buster-type weapon, instead using an energy-beam sword known as the Z-Saber. After defeating bosses, special weapons give Zero's Z-Saber new techniques. It is very powerful and can be obtained by X in some games of the series.
Mega Man X Series
In the first Mega Man X game Zero is a supporting character, shown to be X's mentor. While X is defeating the eight Maverick bosses, Zero is gathering information on Sigma (not much else is known exactly about what he is doing during this time). Zero and X meet at Sigma's fortress, where Zero is killed by the Maverick Vile. In the sequel, Mega Man X2, a group known as the X-Hunters begins collecting Zero's parts. While there is multiple endings to this game, the one the can be surmised as canon has X rebuilding Zero. In Mega Man X3, X and Zero go after the evil Dr. Doppler. Once again X3 had multiple endings, though the one that seems to be canon has Zero saving X from being killed by Sigma. Mega Man X3 also represented the first time that Zero was playable, though it was in a limited form.
While Zero was first playable in X3, in Mega Man X4 he became a full-fledged playable character featuring his own storyline. Mega Man X4 featured an enemy force known as Repliforce, who turned on the Maverick Hunters after they labeled them as Mavericks. Zero had a love interest in X4 in a female reploid named Iris. Iris had a brother named Colonel, who was a Colonel in the Repliforce army. Ultimately Zero fought and destroyed Colonel due to being on opposite sides of the conflict, which prompted Iris to leave Maverick Hunter HQ and obtain fighting armor to avenger her brother. Zero was forced to defeat Iris, though he rushed to her side and held her as she died. Zero destroyed Sigma (again), and as he flew away he contemplated the existence of Reploids. (NOTE: Zero and X's storylines are separate in X4, so the canon of this version of X4 is questionable).
Mega Man X5 is different than X4 in that both X and Zero are part of the same storyline. Sigma once again returned in X5, this time he attacks them at the very beginning of the game. When X and Zero defeat Sigma, they realize that they had actually gone along with his plan - he intended to lose. Upon his defeat, the Maverick Virus is spread all across the Earth. In addition to that, Sigma has hired a Reploid known as Dynamo to crash the space colony Eurasia into the Earth. There are multiple story paths and endings in X5, but the canon story is that Zero flies a space shuttle into Eurasia to stop it from crashing. He survived, and the pair went to face off against Sigma. After defeating Sigma there is a giant explosion. X finds Zero, in a very battered condition. He picks him up, but he then hears a voice behind him coming from a large skull face of Sigma. Sigma fires a laser straight through both X and Zero. Zero manages to blast Sigma with his arm canon, finally defeating him. X lives on, carrying Zero's saber with him.
Mega Man X6
takes place three weeks later. X is set out to investigate the new "Nightmare Phenomena" and the accompanying appearance of a new Maverick known as the "Zero Nightmare." While rumored to be Zero in a new Maverick form, X defeats Nightmare Zero and learns that it was actually just a copy of Zero. The real Zero makes himself known, explaining that after the disaster of X5 he was forced to go into hiding to repair himself. X and Zero then go and defeat the creator of the Zero Nightmare, Gate, and Sigma (again).
InMega Man X7, Zero essentially is the main Maverick Hunter because X has moved to an HQ position (due to issues he is having with violence). Zero runs into a Reploid named Axl, who was formerly a member of the group Red Alert. Red Alert is a group that is similar to the Maverick Hunters, in that they hunt Mavericks, but they use questionable methods. Axl leaves them and wants to join Zero and the Maverick Hunters in stopping them. Zero allows Axl to go fight with him (despite X's hesitation), and they go about stopping Red Alert. X rejoins them to fight Sigma (again). Back at HQ, Zero has a dream of X pointing his arm cannon at him and repeating "Eliminate the Mavericks" over and over. Zero wakes up and says to himself that he hopes it was just a dream.
X8 kicks off with X, Zero, and Axl investigating a crab-like Maverick. Unfortunately, they are interrupted by X and Zero's old nemesis and former Maverick Hunter Vile , who kidnaps a Reploid known as Lumine. Lumine is the leader of the Jakob project, a project by the humans to build an elevator to the moon. Sigma also returns, and it becomes apparent that he was actually behind Vile's kindapping of Lumine. X, Zero and Axl are able to defeat Sigma, supposedly for the final time. Lumine then reveals that it was actually him who was the mastermind behind the entire plot, though they are able to defeat him as well. As they leave, Zero gives X a sort of "pep-talk", because X was shaken by the encounter and some of the things Lumine said.
Mega Man Zero Series
Zero awakens in the future and goes on his own adventures in his own video game series. He is found by Ciel, a prodigy scientist who is soon rescued by Zero, who teams up with the Resistance, a ragtag group of humans and reploids who oppose the rule of Copy X, an evil clone of the real X, and Dr Weil, a psychotic scientist, who dies in a climactic battle against Zero in space, along with Zero, at the end of Mega Man Zero 4.
He also fights against his old body, which has been reprogrammed into Omega Zero.
Mega Man ZX Series
Zero returns as Biometal Z, an aid to Girouette, Vent and Aile, who is used to form Model ZX when combined with Model X, the reincarnation of Mega Man X.
His original body also makes a return through Omega, who returns as Omega Zero at the end of Mega Man ZX. (this is not canon in the story, however, it is just an extra in the game.)
Appearances outside of MegaMan Games
Zero has appeared in SNK: Chaos - SNK Vs Capcom, and Tatsunoko Vs Capcom (Ultimate Stars version) as a playable Character in his Neo and Classic forms respectively. He is also playable in Onimusha: Blade Warriors and most recently in Marvel Vs Capcom 3.