Gareth Bale and Cristiano Ronaldo were deployed in central attacking roles by Zidane at the Benito Villamarin, with Lucas Vazquez and Marco Asensio operating out wide as Karim Benzema started among the substitutes.
Asensio put Madrid ahead but Betis took the lead into half-time following Aissa Mandi's header and an own goal by Nacho Fernandez.
Sergio Ramos and Ronaldo found the back of the net either side of a second for Asensio, with Benzema coming off the bench in the 89th minute to complete a 5-3 victory after Sergio Leon set up a tense finale.
"I'm a little disappointed. The match could have been over in the first half," Setien told COPE after the match.
"I almost would have preferred Zidane to play with the BBC instead of Lucas and Asensio.
"We would have had fewer problems. They defend less."
Dani Ceballos was denied an appearance against his former club and has been used by Zidane just six times in La Liga since his arrival from Betis.
Setien reiterated a desire to bring the 21-year-old midfielder back to Seville
"Whenever there are great players on the bench it is sad," he told Cadena SER . "It would have been very good for him to come and for us too, but things are the way they are."