Yes, use File Explorer (right-click files > Send to > Compressed (zipped) folder), but they need to be offline, i.e., on the local device. The "Status" icon will be the green circle with a check. The cloud means online only. If you try to zip an online file, you'll be prompted to copy it offline.
![OneDrive zip prompt.jpg OneDrive zip prompt.jpg](https://windowscentral-data.community.forum/attachments/102/102355-4b7addcb65e4d754c93ea9a864b4ec37.jpg)