Zimmerman, who attended Texas Christian University, played baseball in the French Elite League for one season with the Montpelier Barracudas. In 1996, he pitched for the Canadian Olympic baseball team; they failed to qualify for the Olympics. After taking some time off from baseball to earn his Master of Business Administration degree at Simon Fraser University, he played with the independent Northern League's Winnipeg Goldeyes in 1997.

Zimmerman was purchased from Winnipeg by the Texas Rangers in 1998 and played at both the A and AA minor league levels. In 1999 he made his way onto the Rangers Major League squad after a short stint at the AAA minor league level. He became a very successful middle relief pitcher in the bullpen and even became an All-Star that season (his only All-Star appearance). Zimmerman tied the record for most consecutive winning decisions to start a career with nine wins. In 2001, he became the Rangers' closer and amassed 28 saves in a season that culminated in the Rangers naming him the club's Pitcher of the Year. Over the three years from 1999 through 2001, he totaled 17 wins, 32 saves, and a 3.27 ERA in 228 ²⁄₃ IP in 196 games.

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