The 45-year-old Chinese internet tycoon donned the number 11 jersey and played for the first half of the game against Argentina CN Sports Football Club in a frontline partnership with Anelka.
Zhu stole the limelight from newly appointed head coach Sergio Batista, the former Argentina manager who did not take charge of the game and instead chose to watch from the terraces.
The partnership with former France international Anelka ended when Zhu was substituted at half-time after missing some good chances.
The game ended 1-1 with Anelka having a penalty saved in the second half.
Batista was appointed head coach on a six-month deal on Wednesday to replace sacked Frenchman Jean Tigana.
Batista wants to sign Chelsea's Ivorian striker Didier Drogba, who helped the London club win the Champions League, but Zhu remained tight-lipped when asked whether he was confident on Drogba's transfer to his club.
"That is a good question. But I won't tell you today," he said.
Shanghai, who are ninth in the Chinese Super League, fired Tigana in April after a poor start to the season and replaced him with interim coach Jean-Florent Ibenge.
Batista will formally take charge of the side in a friendly against South African side Moroka Swallows on Sunday.
Chinese clubs have splashed out on big name foreign managers and players to try to raise the profile of domestic football.
League leaders Guangzhou Evergrande this month appointed Italy's former World Cup-winning coach Marcello Lippi after sacking South Korean Lee Jang-soo.
