But they made history earlier this month with a shock 30-25 victory over Cardiff Blues.
They have been drawn in a testing Heineken Cup Pool Three alongside four-time former champions Toulouse, Saracens and Connacht.
But club captain Marco Bortolami insists his side must take the next step by claiming their first European scalp.
"We're really looking forward to the Heineken Cup, it's a great competition and really good to play in but also very tough," said the Italy second-row.
"The win against Cardiff Blues has given us the confidence to go anywhere and target another victory.
"It's very important that we get a win in the Heineken Cup. Every game you win, you build confidence."
Zebre face the daunting proposition of travelling to France to take on Toulouse, who have never lost to Italian opposition in Europe, in round one.
The Italians warmed up for the clash with a disappointing loss at the hands of Newport Gwent Dragons. But Bortolami insists his side are still full of confidence and he hopes they can build momentum towards round two where they face Connacht - a game the second-row views as the best chance of a victory.
"We have Toulouse first up away from home and that will be a huge challenge, you don't get much bigger," added Bortolami
"They struggled a little bit at the start of the season but now they are playing good rugby, it will be very tough but we have to challenge ourselves and play the best game of our season so far to be competitive there.
"We have to play our best game against Toulouse to build towards facing Connacht at home. We have to target that game for a win, I think we can do it and we have do work hard.
"We played Connacht earlier in the season, we granted them the first try and we lost by a very small margin. We can learn a lot from, we know we can be competitive against them, we believe we can win but we have to deliver on the day and that's the big challenge."