Zegar is one of the four founding partners of Innovative Market Systems (later renamed Bloomberg L.P.), which was established in 1982. The other founders were Michael Bloomberg, Tom Secunda, and Duncan MacMillan. Zegar met Bloomberg while both were working at Salomon Brothers. Zegar initially led Bloomberg's software development efforts.
Zegar has been married twice. He is widowed from his first wife. He remarried in 2001 to administrative judge, Merryl Judith Snow; the Service was officiated by Rabbi Joel Goor and took place at the Essex House in Manhattan.