The change to Festina brought the Giro d'Italia into Alex's career. He had wanted to ride the Giro when he was still with Once, and now he was supposed to win the pink jersey for this new employer. Ex-pro Tony Rominger warned his fellow countryman about the difficulties of the Giro. In 1995 won the "maglia rose" two days after the time trial and didn't give it up again. He later said, "I used up so much strength that I was never the same again. So my advice to Zülle is: Don't make the same mistake I did!" After viewing the Dolomite mountains, Alex was impressed: "I've never seen such steep mountain passes, not even in the Tour."

Although he led the race for a long time, he broke down entirely on one of the last mountain stages and on the last climb lost over half an hour to eventual winner Marco Pantani.

Many journalists wanted to make a connection between the breakdown and his admitted past drug use. They believed that his poor performance was due to an overdose.However, when one thinks of Tony Rominger's comments, and remembers that this was Alex's debut in the Giro, one can come to the simple conclusion that Alexoverestimated himself and underestimated the Giro.