Zidane oversaw 5-0 and 5-1 wins in his first two games in charge after replacing Rafael Benitez as head coach, but a 1-1 draw in Seville last Sunday saw them slip further behind Barcelona in the title race. The champions are four points ahead with a game in hand.
Pepe, however, took plenty of positives from Madrid's approach to that stalemate and is confident the mentality demanded by the coach will serve them well against an Espanyol side who have not beaten them in the last 16 Liga encounters.
"The most important thing is that we worked as a team. That's what we have to take with us for the next few games," the defender, who is a doubt for Sunday's game, told the club's official website.
"We're taking on board what Zidane wants. We're improving and bit by bit we're getting to the physical level the coach has in mind."
Espanyol were dealt a 6-0 thrashing in the reverse fixture in December and their woeful away form does not inspire confidence ahead of the trip to the Santiago Bernabeu.
Constantin Galca's side have been beaten in their last seven away league games - they have not lost eight in a row since 2002 - and are only four points from safety, despite sitting in 13th place.
Victor Sanchez, who has recovered from a thigh problem in time to return to action against Madrid, says his team-mates can have no more excuses over their form on the road despite Sunday's daunting opposition.
"They're always a dangerous opponent. We have to be very strong defensively. We have to play a serious game and not allow them to create chances," the midfielder told Espanyol's official website.
"At home we give a good impression but, away from home, for whatever reason, we're not so good. We want to be competitive again. We cannot drop any points."
Cristiano Ronaldo trained separately earlier this week but is fully fit for the game, meaning Gareth Bale (calf) and Pepe are Madrid's only main injury concerns, with Sergio Ramos expected to return after missing the last two matches.
Victor Alvarez and Gerardo Moreno are banned for Espanyol, while Jose Canas (toe) and Anaitz Arbilla (Achilles) are out, but Giedrius Arlauski should make the matchday squad for the first time after signing on loan from Watford this week.
Espanyol sealed a deal for the full playing rights of Felipe Caceido this week, and they will look to the Ecuador striker to offer some hope of a shock, with the Catalans having only scored twice in the last five league meetings with Madrid.
Key Opta Stats:
- Madrid have won their last five league games at home, scoring an average of 5.4 goals per game. - Espanyol have won just one of their last nine league games (D3 L5); that being a 1-0 victory against Las Palmas in December. - Espanyol are the opponent Real Madrid have defeated the most times in La Liga history (96), as well as the team they have scored the most goals against (359). - Among the players who have scored at least 10 goals in La Liga this season, Karim Benzema has the highest shot-conversion rate (34 per cent), while Cristiano Ronaldo has the lowest (14.16 per cent). - Toni Kroos and Luka Modric have made the most passes in La Liga this season, with 1531 and 1444, respectively.