It’s the first I’ve heard of this, but so says this article in ynetnews:
The first signal came on Monday, 5 December, when during a dinner with the Benarroch family, Zapatero and wife began claiming what Vidal Quadras, member of the European Parliament, described on the radio as “a tirade of anti-Zionism and anti-Semitism”. By the moment the Benarroch couple had left the table to express their regrets, Zapatero was explaining his lack of surprise about the Holocaust: according to the people present, Zapatero claimed to understand the Nazis.
Beyond that, the article is rather short on details; Zapatero has a typical European leftist strong antipathy toward Israel (and the U.S.), but provides no other specific evidence that he’s an anti-Semite. But the article is certainly right about Jews in Spain feeling anxious; my parents were in Spain in May, and they heard all about it at the synagogue they attended (guarded by a small army, reservations-only, with warnings not to wear kippot on the streets).
UPDATE: According to this story, the Spanish opposition leader has accused Zapatero of anti-Semitism, though again we are short on specifics.