News outlets report the Nassau County Sheriff's Office says the zebra, named Shadow, injured itself somehow while escaping Wednesday in the town of Callahan.
Neighbors told WTLV-TV that the zebra was cornered by the owner and killed as authorities responded to the scene.
Florida Fish and Wildlife Conservation Commission investigators say the owner didn't have a valid captive wildlife license. Authorities didn't immediately release person's identity.
No other exotic animals were found on the property and the commission is trying to determine how the zebra escaped.