Venezuela's opposition leader Friday called for a nationwide protest on Saturday over the arrest of his deputy opposition figure. It has provided humanitarian aid to Guaido's faction in its efforts to topple the embattled 56-year-old Maduro.
The Supreme Court had earlier accused Zambrano and the other lawmakers of conspiracy, rebellion and treason. However, the opposition lawmaker did not say he had taken refuge in the embassy.
They are among 10 National Assembly members charged with treason for supporting Guaido's call for a military revolt on April 30.
The Trump administration blames Mr Maduro's socialist policies and government mismanagement for Venezuela's economic crunch, warning that 2 million more people are expected to flee by the end of the year if the crisis continues. The United States government this week threatened to sanction all its members.
"Enough with blaming the world for our country's disgraces, and to keep demanding more sacrifices from our people while some leaders make fortunes", Cristopher said in a video posted on Twitter by Venezuelan TV outlet NTN24.
Zambrano's arrest on Wednesday night was both freakish and dramatic, with the lawmaker commenting on events live on Twitter as it happened.
Venezuela's pro-Maduro Constituent Assembly agreed on Tuesday to strip Zambrano and six other lawmakers of their parliamentary immunity to allow their future prosecution.
Shortly before his arrest, Zambrano said on Twitter that agents of the SEBIN intelligence agency had encircled his vehicle outside the headquarters of the Democratic Action party.
Venezuela was plunged into turmoil in January when Juan Guaido declared himself acting president in a direct challenge to Nicolas Maduro's authority.
Following Zambrano's arrest on Wednesday, Guaido accused the regime of "kidnapping" his deputy and said: "They are trying to destroy the power representing all Venezuelans, but they will not achieve it".
But Maduro retains control of the military and state functions. The U.S. government warns that there will be consequences if he isn't released.