Zola left Watford on Monday following a poor run of form that sees the club without a win in their last nine Championship games.
The Vicarage Road outfit - who lost to Crystal Palace in the play-off final last season - sit 13th in the table, just eight points above the relegation zone.
And the club's hierarchy has acted swiftly in securing a replacement for Zola, with Sannino - who was sacked as manager of Serie A club Chievo Verona last month after being appointed in July - taking charge on Wednesday.
A statement on Watford's official website read: "The 56-year-old has spent the past 17 years accumulating coaching experience in his native Italy.
"His most recent managerial appointments include Siena, Palermo and Chievo Verona.
"Before taking up his first coaching post in the mid-1990s, Sannino enjoyed a long playing career within the Italian league structure.
"Sannino takes up his post immediately, and will be joined by assistant coaches Francesco Troise, Giovanni Cusatis and Paolo De Toffol."
Sannino's first match charge is a trip to face Ipswich Town, who are unbeaten in four games, at Portman Road on Saturday.
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