Zidane's men looked set to extend their commanding lead at the top of the table when Cristiano Ronaldo opened the scoring at the Sanchez Pizjuan from the penalty spot midway through the second-half.
However, Real captain Sergio Ramos delighted the home fans by heading into his own net on his return to his former club.
And substitute Stefan Jovetic curled home a dramatic stoppage time winner on his La Liga debut as Sevilla closed to within a point of Real.
"I have to be very proud of them all for what we have done until now," Zidane told BeIN Sports Spain.
"We know this was going to happen some day, it is today, and now we have to continue working hard in all competitions."
Ramos received an even more hostile reception than normal in Seville after goading the ultras section of the home support in scoring a late penalty in a 3-3 draw in the Copa del Rey between the sides as Real progressed 6-3 on aggregate on Thursday.
"When we win, we all win and when we lose, it is the same. We couldn't kill the game off."
And Zidane rejected any suggestion his concentration had been affected as he bulleted a header into his own net to inspire Sevilla's late fightback.
"He played great. I am very happy with how he did, he played with personality," added Zidane.
Ramos was part of an unusual Madrid line-up with three at the back, but Zidane's tactical change had worked well for 85 minutes.
Wing-backs Dani Carvajal and Marcelo were given extra licence to roam forward and it was Carvajal who was chopped down in the area for Ronaldo's opener.
"It is a shame. To play like that for 85 minutes and then to lose is hard to take, but that's football.
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