O'Sullivan, who was seeking a record-extending ninth title in the event, was participating in his first UK tournament since his loss to Zhao Xintong in the World Championship semi-finals in May.
But 'The Rocket' saw his return soured by Zhou as an overall loose display caused his potting game to get away from him.
Defeat condemned O'Sullivan to a second first-round exit at the UK Championship after losing to Barry Hawkins last year.
It also extends his trophy drought, with his last ranking title coming at the World Grand Prix in January 2024.
The match opened with two tight frames which fell the way of China's Zhou despite O'Sullivan holding decent leads in both.
O'Sullivan found breaks of 71 and 123 to level before the interval, which may have come as he was building momentum.
The pair kept even scoring and traded further frames for 3-3, until 27-year-old Zhou edged the seventh and cleared 125 to move two ahead.
O'Sullivan snuck the ninth frame to keep himself alive in the contest, but another opportunity for Zhou to close out would come quickly.
O'Sullivan held a lead in frame 10 but gave up his advantage, allowing Zhou to swoop in a complete a fine victory.