Azmoun handed his team the lead at Lyon in the 41st minute of their Group G clash, playing a lovely one-two with strike partner Artem Dzyuba on the edge of the box before slotting past Anthony Lopes with the outside of his boot.
The goal from the 24-year-old Iranian international meant Russian champions Zenit headed in 1-0 to the good at half-time at Parc Olympique Lyonnais.
Zenit are back in Europe’s premier club competition after a three-year break, and face a group also containing Portuguese side Benfica and Germany’s RB Leipzig.