Bale joined Real from Tottenham Hotspur in a world-record deal reported to be around €100million (£85.3), arriving on a six-year contract.
Zidane, who is now Carlo Ancelotti's assistant coach at Real, joined the nine-time European champions in 2001 for a then record fee.
He felt at the time that fee was over the top and appreciates that it is hard to understand how a player can cost as much as Bale in the current economic climate.
Asked whether Bale was worth the hefty fee paid for him, ex-France playmaker Zidane told Canal Plus: "You need to ask that question in a year's time.
"Ten years ago, they bought me for 75million euros and I said I wasn't worth it.
"Today, I tend to say a player is not worth that. Two clubs agree on a price and no-one is forcing the other to do anything.
"That's football. Unfortunately, it's incomprehensible with what's happening today to pay so much."
Zidane believes Bale has the potential to go from strength to strength at the Santiago Bernabeu and is ready to offer the Welshman advice.
"My role will certainly be to tell him that he plays as he knows how to, to not put too much pressure on himself," he said.
"He has an incredible potential but he still has room for improvement."
Bale, who is currently on international duty with Wales, is expected to make his Real debut against Villarreal on September 14.