Zalayeta started his career with Danubio and then moving to Peñarol in Uruguay in 1997, where he made a name for himself, winning the Uruguayan Primera División and the Uruguayan Liguilla Cup. He moved to Juventus later that year, but although he was considered a promising young player at the time, he was not given much of a chance to prove himself due to heavy competition from several other prominent forwards at the club. However, he scored a decisive goal on his Serie A debut on 14 March 1998, in a 2–2 home draw against Napoli; Juventus would finish the season as league champions. He then spent a season on loan with Empoli, and he also starred in Uruguay's surge for the Copa América in 1999, who lost in the final to Brazil. Two more years away from the club followed, and he played for Spanish side Sevilla until 2001. At last, when it seemed Juve lacked forwards, he was brought back to Italy at the start of the 2001–02 season, but he was loaned out to Perugia in 2004 before returning to Juventus in the same year.