One has to wonder - why were they never domesticated? If they are so strong and so hardy?
Maybe they don't get along with people so well?
I think that like Buffalo, they don’t domesticate.
Someone did train a team of zebras to pull a carriage on a bet... But I would think as a rule they are too flighty and fighty... Even regular jack asses are tough hombres.
Not so with zebras, monkeys, apes, and most wild animals. Even when hand raised and tame, they retain a wild streak and can become dangerous with little warning. More than that, they do not get simple signals from humans that dogs and horses easily recognize. For zebras as a species, humans are alien beings not to be comprehended or trusted. With a few hundred years of intense selective breeding, that could change, but why bother?