In-form Kevin Nolan scored the only goal of the game midway through the first half as Sam Allardyce's side built on the precious point gained in their opening group match at Besiktas.
The conditions proved difficult for free-flowing football and there were few clear-cut chances for either side.
The tricky Russian visitors started brightly and Jussi Jaaskelainen was the busier of the two keepers in the early stages.
However, Bolton should have opened the scoring in the 15th minute when Kevin Davies headed wide from Nolan's cross and two minutes later the burly former Southampton striker blasted a shot over the crossbar with only Kamil Contofalsky to beat.
Allardyce's side scored the all-important goal in the 24th minute when Nolan reacted first to the loose ball after Stelios had seen a shot blocked during a goalmouth melee.
Zenit pushed hard for an equaliser in the second half and almost got it in the 51st minute when Aleksandr Kerzhakov's shot beat Jaaskelainen but bounced wide of the target.
Davies went close again in the 66th minute but his header whistled past the post with Contofalsky beaten.
In the 77th minute Jaaskelainen had to make a diving save to keep out Igor Denisov's shot and in stoppage time the Bolton keeper had to be at his best again to keep Andrei Arshavin's close-range effort out with his shoulder.