Immediately outside the Krypte, the entrance to the stadium and along the treasury terrace is a row of sixteen pedestals, which supported the Zanes. These were bronze statues of Zeus, none of which has survived, created from the fines imposed on athletes for cheating at the Olympic Games. Their prominent position was intended to dissuade other athletes from cheating. According to Pausanias (V, 21, 2-18), the first of the Zanes were erected after the ninety-eighth Olympiad in 388 BC, when Eupolos from Thessaly was fined for bribing three of his opponents in the boxing event. The remaining six statues were erected after the 112th Olympiad in 332 BC by the Athenian Kallipos, an athelete of the pankration who also bribed his opponents. Pausanias mentions in detail other similar stories, ending with that of Sarapion from Alexandria, an athlete of the pankration, who fled on the eve of the contest in the 201st Olympiad, in AD 25. He is the only Olympic athlete to have been punished for cowardice.

The bronze statues were crafted by great artists of their time. An inscription on the first pedestal to the east mentions the name of the famous sculptor Kleon from Sikyon, to whom the statue next to this is also attributed. Traces of this second statue on its pedestal indicate a life size effigy of Zeus standing on his right foot, his left foot resting on the toes. Although created at different periods, the twelve Zanes probably looked very much alike. According to Pausanias, the pedestals were inscribed with short texts mentioning the name of the culprit and inciting other athletes to fair play. The fact that very few penalties were recorded indicates that the rules were generally respected. It is not surprising that penalties appeared in the fourth century BC, a time of change in moral values, when the games lost their sacred character and became more of a social event. However, the occurrence of an athlete's name on such a pedestal was shameful both for him and for his city.

The Zanes were uncovered during the early excavations by the German School.