Here's a reply I recently sent to a person asking information about making nests for their Zebras. It's pretty simple, and I will probably add a little detail in the future.
Zebras will breed in almost anything. Given their choice, most likely they will use a small bamboo finch nest. I prefab it with some timothy hay in the bottom, then circle around some coco fiber on the inside and top it off with a few white feathers.
When you do this, you should fill to a point where their eyes are level with the bottom of the entrance or slightly higher--it depends on the species. They will use the lg. bamboo finch if there are no small ones. They will also use open canary nests, but need some coco fiber to build a dome over it.
The plastic boxes will work fine. Any box will work, but you should always have coco fiber for any of your nest builders.
If they are allowed to build from scratch the nests are large and messy, where they will intertwine coco fiber and white feathers. I have had them build in the strangest of places, including the not-so-strange fake Ficus tree in one of the rooms.
Finches really do require the coco fiber and white feathers. I buy a feather pillow from Target for $9.99 and it lasts me a couple of years. The coco fiber comes from Lady Gouldian, which is listed on my Resources page.
I have hybrid breeding rooms which are walk-in flights with cages for some species that do well in them, where I have to track bloodlines, or are closely related to those in free flight. I have Zebras in both situations. The caged ones are some of the best I have culled to become strong breeders.
The Zebras get really tame when bred in a walk-in, and they land on my head, my back, my shoulder, my foot... When I bring the tray of food in (a lg. cookie sheet that stacks 15 5"-dia plastic plates), by the time I set the tray down, there may be three or four of them already on the tray and eating off the plates.
Every couple of days I bring a handful or two of coco fiber in the rooms along with a fistful of white feathers so they can keep building. The Zebras will come and snatch a white feather right out of my fist before I release them in the air--it's fun for them to see it and gets them stimulated, and they are all gone in a matter of a couple of hours.
If you read some of my articles, you will note that each room has about a dozen cages with the doors wired open. It is the way I help domesticate the African wild-caughts. There may be from two to six "furnished" nests in each cage. Every day they get fresh food, water and seed, whether it appears they are being used at all. At the end of the day though, you will usually seed food eaten, seed cups partially depleted, water used. I will do it even if there is no sign of activity, as it is inviting, and some day a pair will want to use it. Birds will come and go as they please, getting their exercising and socializing done in the free flight, but breeding or sleeping in the cages. Many of the zebras also like this setup.
Zebras like to bathe, just like all of the finches. I provide a water cup, and in some of the larger population cages a larger bathing bowl. However, don't get discouraged if they bathe in the drinking cup and sip out of the bath tub. Water is changed every day. I add Apple Cider Vinegar to keep yeast from forming in their guts. See the July 2010 Breeder's Notes.