Zsh loads files in special order, first it loads these files from /etc or /etc/zsh directories depending on which distro are you using: zshenv → zprofile → zshrc → zlogin → zlogout
Then it looks and loads these files from $HOME or if its set then from $ZDOTDIR directories: .zshenv → .zprofile → .zshrc → .zlogin → .zlogout
All files located under /etc or /etc/zsh are sourced system wide for every user while files located under $HOME or $ZDOTDIR are user specific and sourced for each users $HOME and $ZDOTDIR separately.