Cadiz, Shakhtar Donetsk and Valencia had already beaten Madrid this season, which is in its infancy, and Deportivo Alaves added their name to the list of surprise conquerors across all competitions thanks to a richly deserved 2-1 win on Saturday.
There were grumbles from the Madrid camp about decisions the VAR may have given them, with penalty claims from Eden Hazard and Marcelo failing to result in spot-kicks.
But Madrid head coach Zidane was clear in his mind that his team got what they deserved from the clash at the Alfredo Di Stefano stadium, where the Spanish giants lost for the third time in LaLiga this term.
The losses to Cadiz and Shakhtar also came at Madrid's temporary home, which they are using while the Santiago Bernabeu is being renovated.
They were pushovers for much of Saturday's game, with Lucas Perez and Joselu giving Alaves a 2-0 lead before a familiar late Madrid rally saw Casemiro net from close range and Isco hit the top of the bar.
Conceding the early penalty that Perez tucked away made Madrid's task especially challenging, but they repeatedly looked vulnerable to Alaves' energetic, fast-paced counter-attacks.
"When you start the game like that, everything is complicated. We haven't been focused," Zidane said, speaking on Movistar LaLiga.
"We are not going to look for excuses. We played a bad game. I am the coach and I am to blame.
"We have to turn the page. On Tuesday we have another game [against Shakhtar]. We will continue working. We are going to try to change the dynamics."
Madrid goalkeeper Thibaut Courtois gave away the ball sloppily to gift Joselu the second for Alaves early in the second half, while Los Blancos suffered a blow when star winger Eden Hazard had to come off just before the half-hour mark.
The former Chelsea player has been tormented by injuries in his Madrid career, but it appears that Hazard does not see his latest blow as anything serious.
"I hope and I think that Hazard's [injury] is a knock like he said and that it's not muscular," Zidane said.
Three defeats in their last five home games across all competitions is bleak form for Madrid, given they had only lost three of their previous 31 such games.
Casemiro said Alaves finished their chances better and praised the quality of Perez and Joselu, who were outstanding as a front pairing and went close several times to stretching the visitors' lead.
The Brazilian midfielder felt Madrid should have been better served by the match officials though, saying, according to AS: "Talking about the referee after the game is not the time, the VAR is there to help."