I've gotten the command line GDB working with the Zero on both my Windows and Mac machines (the latter does it trivially, the former took a little coaxing). This site has good instructions, though you'll need to adapt it for the real Zero, as the site refers to the Zero Pro from the company-which-must-not-be-named:
If you poke through your Arduino installation directory (Mac, Linux), or your AppData\Roaming\Arduino15 directory (Windows), you can find the executables for OpenOCD and GDB.
You can then write a script (or batch file for Windows) to invoke OpenOCD and GDB. My Mac has one shell script that invokes OpenOCD, then starts gdb and passes the arduino sketch directory of the sketch I want to debug, the connection and initialization commands, and the .elf file for the sketch. I unfortunately don't have my Mac here, so I can't share it with you yet, but if I remember I'll post it this afternoon.