Getting audio out on a pi0 requires a little bit of hardware hacking, but it's not at all impossible - the signal is there, you need a handful of components and some device tree settings: https://learn.adafruit.com/introducing-the-raspberry-pi-zero...

Do they need power? I use an hdmi to rca and it's not powered.

Edit: it did come with a usb cable to plug into it, but I never needed it. Unfortunately I don't know enough about hardware to know what's going on.

FWIW, PCM5102 boards off ebay are about $5 and work perfectly with the pi0. They don't support hardware mixing or volume control, but the sound quality is surprisingly good.