A while back I couldn't figure out why URLs wouldn't work with curl or youtube-dl in zsh, and I found this discussion on Stack Overflow.

Better than the accepted answer, though, is the suggestion to place the following in your ~/.zshrc file:

autoload -Uz bracketed-paste-magic zle -N bracketed-paste bracketed-paste-magic autoload -Uz url-quote-magic zle -N self-insert url-quote-magic