Zero-field splitting (ZFS) is a fundamental molecular property that is especially relevant for single-molecule magnets (SMMs), electron paramagnetic resonance spectra, and quantum computing. Developing a method that can accurately predict ZFS parameters can be very powerful for designing new SMMs. One of the challenges is to include external correlation in an inherently multiconfigurational open-shell species for the accurate prediction of magnetic properties. Previously available methods depend on expensive multireference perturbation theory calculations to include external correlation. In this paper, we present spin-orbit-inclusive multiconfiguration and multistate pair-density functional theory (MC-PDFT) calculations of ZFSs; these calculations have a cost comparable to complete-active-space self-consistent field (CASSCF) theory, but they include correlation external to the active space. We found that combining a multistate formulation of MC-PDFT, namely, compressed-state multistate pair-density functional theory, with orbitals optimized by weighted-state-averaged CASSCF, yields reasonably accurate ZFS results.