We propose new coded modulation schemes for ultra-high-speed optical transmission (e.g., 100 Gb/s and above) using component concatenated zigzag codes in combination with high-order digital modulation and coherent detection. In particular, we propose single-level coded modulation and multi-level coded modulation using concatenated zigzag codes. For single-level coded modulation, only one concatenated zigzag code is employed to encode the information bits, and Gray mapping is employed to map the coded bits to channel symbols. For multi-level coded modulation, the mapping bits are divided into several layers, and one component concatenated zigzag code is employed at each layer; the layers are decoded successively, and the decoded layers are used to assist the decoding of the subsequent layers. Furthermore, we propose a rate allocation scheme for the component concatenated zigzag codes and a parameter selection scheme for multi-level coded modulation. Simulation results demonstrate that single-level and multi-level coded systems with zigzag codes show up to 0.5 dB performance gain over structured low-density parity check codes.