The match, which took place in Moscow at the Megasport stadium, ended with a score of 82:73 in favor of the army team.
CSKA's top scorer was forward Will Clyburn with 19 points.
Sergei Karasev scored 20 points for Zenit.
The score in the series was 2-0 in favor of the army team.
The third meeting will take place in St. Petersburg on 25 May.
The start is at 19:30 Moscow time.
Earlier, CSKA notified the Euroleague of its intention to take part in the tournament, despite the sanctions.