Zendesk does support single sign on for user authentication. More information on configuring it can be found here: https://support.zendesk.com/entries/23675367
If you need SAML, then refer to this article: https://support.zendesk.com/entries/514714-Using-SAML-for-single-sign-on-Plus-and-Enterprise-
We also have two 3rd Party integrations that make SSO with Zendesk easy.

