Zhao Junzhe was promoted to Liaoning F.C.'s first team from the club's youth academy and made his debut in the 1998 season. He continued to be a vital member for Liaoning that season when he aided them to being runners-up and the Chinese FA Cup. He was soon promoted to club captain and won the Chinese Football Association Player of the Year award in 2004. The following seasons saw the club's fortunes fall and Zhao unfortunately led the team to relegation to the second tier at the end of the 2008 season. Despite this setback, he remained with the team and immediately led Liaoning back up to the top tier when they won the second tier title in the 2009 season. Zhao announced his retirement from football at the end of the 2016 season. On 30 October 2016, he made last appearance in his career in a league match against Jiangsu Suning.
On 29 September 2017, Zhao was appointed as the caretaker manager of Liaoning FC, who sat at the bottom of the league table. On 14 October, in his first game as manager, he guided Liaoning to a 3–3 draw against second place team Shanghai SIPG. However, Liaoning finally relegated to the second tier after losing the last three matches of the season. On 12 December 2017, Zhao's caretaker spell ended when Chen Yang became the manager of Liaoning.