Zulli's comics career began in 1986 with the independent ecological series The Puma Blues, a collaboration with writer, Stephen Murphy (TMNT). He drew the infamous never-published issue of Swamp Thing in which the title character met Jesus, and drew stories for Steve Bissette's horror anthology Taboo.

In the pages of The Sandman he co-created the character Hob Gadling, who simply decided not to die in the 14th century, and drew most of the stories he appeared in, set at various points between then and the present day. His work on the final Sandman volume, The Wake, was printed from his pencils, without the use of an inker.

Zulli has also collaborated with Gaiman on an unfinished adaptation of Sweeney Todd, a miniseries starring rock singer Alice Cooper entitled "The Last Temptation," and comic adaptations of some of his short stories. With other writers, he has drawn Sandman spin-offs The Dreaming and WitchCraft, and illustrated J. Michael Straczynski's novella Delicate Creatures.