Zeus olympius is known only from the type locality in Greece, at an elevation of about on Mount Olympus, as well as from the Pirin and Slavyanka Mountain in Bulgaria. The fruit bodies grow scattered or in small groups on the dead portions of twigs and small branches of Bosnian pine (Pinus leucodermis) that are still living towards their bases. This habitat suggests that the fungus may be a parasite or a facultative endophyte. Although its conservation status is not officially listed by the IUCN, it is considered potentially Critically Endangered. Threats to its habitat include forest fires and climate change.