The young attacker has hailed the new Real Madrid manager's fine relationship with his players and was delighted to score in the Champions League for the club
Zidane replaced Rafael Benitez at the Santiago Bernabeu in January and has since guided Madrid to six wins in seven games, drawing the remaining fixture.
Madrid trail Barcelona by seven points in La Liga, but look well placed to reach the quarter-finals of the Champions League following Wednesday's 2-0 first-leg win at Roma.
"I am happy that the coach gives me confidence. Since arriving he has given us all confidence," said Jese, who scored the second goal in that victory.
"He is fully behind everyone and that is very important.
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"We know each other from two years ago and back then he really helped me. Now I am delighted to have him as a coach. You learn from him as a person and as a coach.
"I really wanted to score in the Champions League. It is my first goal in this competition and I am very happy.
"I am dedicating it to myself and those who are with me each day. It was a tough goal for me to get.
"I have worked a lot and it is difficult to play for this side, as everyone is a good player. I am very happy."