The history of the club takes place at the dawn of the 20th century right after in the city of Luhansk was built the first stadium. The stadium was built in 1922 under the personal order of Vladimir Lenin and later was named after him. The first games that involved participation of the Luhansk's teams first mentioned in 1911 and in 1913 in Kostyantynivka was created the regional football league of Donets basin. During the World War I and the following Soviet and German aggressions the league was suspended until 1920 when the situation in the region had stabilized.
The first Luhansk team was created in the Russian Empire in 1908 when the workers of the Russischen Maschinenbaugesellschaft Hartmann created the "Society of wise recreations". The football section was headed by the Czech specialist Henrich Drževikovski from Prague who was an instructor of gymnastics of the factory's ministerial school. That team played its games and conducted its training on the empty lot near the factory where today is located the sport hall "Zorya".
In 1923 the workers of the Luhansk steam train factory of the October Revolution (hence – the club's logo with a locomotive) organized their football team "Metalist" which became the forerunner of today's Zorya. The following year there was organized a championship of the newly created Luhansk okrug. In the final game the collective city team of Luhansk was victorious against its rival from the city of Snizhne winning it in overtime 1:0. In 1926 the All-Ukrainian Committee of the Mining Workers' council organized a team of Donbass miners that was based on the football players from Kadiyevka for tour games in Germany (Weimar Republic). There the Donbass team won four of their eight games. The following year in Luhansk took place an international game when the city team was challenged by their rivals from Austria. The Donbas players lost the game. In 1936 the football teams "Metalist" and "Dynamo" united into the united Luhansk city team which next year was given the name Dzerzhynets. The name "Dzerzhynets" derives from the steam locomotive that was produced at the steam train factoryFD – "Felix Dzerzhinsky". That year "Dzerzhynets" got the 3rd place in the Ukrainian second league.
In 1937 "Dzerzhynets" won the 1st place in the Ukrainian second league and was promoted to the Ukrainian first league. Moreover, it reached 1/8 final of the Ukrainian Сup and 1/16 final of the Soviet Cup. The team consisted of the following players: Klad'ko (coach), Grebenyuk, Svidyns'ky, Mazanov, Morozov, Krasyuk, Nosko, Movchan, Brovenko, Chernyavs'ky, Voloschenko, Lokotosh, Sytnikov, Evdokymov, Myroshnikov, Ischenko.
In 1938 "Dzerzhynets" became the champion of Ukraine after having won 9 games and having played 2 games in a draw. It was admitted to the Soviet First League.
Its first European competition participation occurred in 1973–74 season in UEFA European Cup as the Soviet representative. Zorya played its first game as Zaria at its home stadium Avanhard (Avangard) on September 19, 1973 hosting the Cypriot club APOEL FC. After that season the club did not participate in continental competitions for over 40 years until 2014–15 season.