The Giallorossi were eventually beaten 3-0 at the Santiago Bernabeu, with Zaniolo withdrawn after 54 minutes with the scoreline just 1-0.
Speaking after the game, the 19-year-old - who is still yet to make a Serie A appearance, and had just seven senior games (all in Serie B for Virtus Entella) under his belt before the game - admitted it was a dream to play in such a game, but that he wants to earn more chances in future.
"I did not expect it," he admitted. "When I spoke to the coach, he told me to show the talent I have out there on the pitch.
"It’s a shame about the result but we have to look forward, on Sunday we have another game."
On his rapid rise, having been called up to his first Italy squad earlier in the month, he added: "Well, it’s my passion. It’s what I’ve dreamed about, so I’m proud and very happy.
"I need to put this behind me though, stay calm and keep working hard day after day, because it would be great to keep doing this."
It is hard to imagine a bigger stage on which to make your debut, against the reigning European champions in the best club competition around.
"Real Madrid are one of the best sides in the world," he said. "I knew this morning [that I would start], after the team meeting. The coach told me calmly, told me he had faith in me and that it would be a great game to play me.
"Everyone helped me a lot, De Rossi obviously gave me a lot of advice, but all the guys looked after me and I have to thank them for that.
"We are all disappointed [with the result], but tomorrow we have to start again, focused only on the game on Sunday against Bologna."
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