Zorniger became head coach of RB Leipzig on 3 July 2012. He managed the club to an undefeated season in all competitions. They finished the league season with 21 wins and 9 draws and went on to the promotion play–off; winning the first leg 2–0 and drawing the second leg 2–2. They also defeated Chemnitzer FC in the Saxony Cup final. He resigned on 11 February 2015, as earlier that month Ralf Rangnick announced that he will be RB Leipzig's coach for next season.
On 25 May 2015, VfB Stuttgart announced in a press conference that Zorniger will be their new head coach and signed a deal with the Swabians until Summer 2018. He was sacked on 24 November 2015 after Stuttgart lost to FC Augsburg 4–0. He finished with a record of five wins, one draw, and nine losses.
On 17 May 2016, Danish Superliga club Brøndby IF announced the hiring of Alexander Zorniger as their new head coach. He signed a two-year deal. On 30 June, Zorniger made his official debut, beating Icelandic side Valur 4–1 away in the first round of the Europa League qualification. One week later, Brøndby won the return leg 6–0 at home. On 17 July, Zorniger made his Superliga debut with a secure 4–0 win at home against Esbjerg fB. On 4 August, Zorniger surprisingly managed to guide Brøndby past his fellow countrymenHertha BSC in the third round of the Europa League qualification, going through 3–2 on aggregate after a 0–1 loss in Berlin one week earlier. Hertha were one of the sides that beat Zorniger's Stuttgart during his stint at the club in 2015. On 21 August, Brøndby beat AGF 7–0 at Ceres Park, thereby handing the opponents their biggest defeat in the club's Superliga history. Late in the same month, following a 1–1 draw at home against arch-rivals FC Copenhagen, Brøndby went into the national team break leading the Superliga by goal difference, tying FC Copenhagen and AaB on points. On 18 September, Zorniger lost his first Superliga game in charge of Brøndby, surprisingly being beat 2–1 at home against Viborg FF. Zorniger finished his first season in charge of Brøndby as runner-up, a feat not achieved by the club since 2006. On 10 May 2018, Brøndby IF won the Danish Cup Final 3-1 against Silkeborg IF. On 18 February 2019, he was sacked from Brøndby IF following their loss to Esbjerg the previous day. It was reportedly a decision made by the board, as they no longer felt Alexander Zorninger was able to lead the team forwards in the strategy called 6.4, the "Brøndby DNA" was missing from Alexanders Zorninger's coaching and playing style.
