Zidane warned that his side's seventh-placed visitors, who beat Rayo Vallecano 3-2 last time out, would make life difficult for Madrid but backed his players to raise their game after a disappointing 1-1 draw at Leganes.
"Lately they have not lost many games and are playing much better than at the start of the season," said Zidane.
"A good team, Athletic have always been very difficult to play against, and tomorrow they will make it tough. But it's a good game for us to play well, play better.
"We have six games left to move this forward. We must play better before the season ends, to play well would be good for everyone. But in training we are getting better each week, and tomorrow we will try and show that on the pitch."