The 24-year-old Norwegian winger has signed a one-year deal with the Kontinental Hockey League's Metallurg Magnitogorsk, according to the source.
The deal also has a one-year option for 2013-14 and an NHL "out" clause should he decide to return to the Rangers as a restricted free agent.
Zuccarello failed to crack the Rangers lineup this season and appeared in only 10 games before suffering a fractured left wrist in March.
He said on Monday that he didn't want next season to be like this one and that his limited playing time was "not enough."
It is believed, however, that Zuccarello's intention is to return to the NHL at some point in the future.