Yeah I found some information on the domestication of zebras:
Attempts have been made to train zebras for riding since they have better resistance than horses to African diseases. However most of these attempts failed, due to the zebra's more unpredictable nature and tendency to panic under stress. For this reason, zebra-mules or zebroids (crosses between any species of zebra and a horse, pony, donkey or ass) are preferred over pure-bred zebras.
So it is possible, just they are not nearly as tame as horses and not worth the effort.
Too bad!