A zone file is the container that holds all of a domain's DNS records together as one set. Every A record, MX record, TXT record, and so on for that domain lives inside its zone file, managed by whichever nameservers are authoritative for the domain.

When you add a DNS record through a registrar's dashboard, you're really editing an entry in that domain's zone file. The zone file is also where a domain's serial number and refresh/retry/expire timing values live: technical housekeeping that keeps secondary nameservers in sync with the primary one, which isn't something most domain owners ever need to touch directly.