In recent years, many methods have been proposed to address the zero-shot sketch-based image retrieval (ZS-SBIR) task, which is a practical problem in many applications. However, in real-world scenarios, on the one hand, we can not obtain training data with the same distribution as the test data, and on the other hand, the labels of training data are not available as usual. To tackle this issue, we focus on a new problem, namely unsupervised zero-shot sketch-based image retrieval (UZS-SBIR), where the available training data does not have labels while the training and testing categories are not overlapping. In this paper, we introduce a new asymmetric mutual alignment method (AMA) including a self-distillation module and a cross-modality mutual alignment module. First, we conduct self-distillation to extract the feature embeddings from unlabeled data. Due to the lack of available information in an unsupervised manner, we employ the cross-modality mutual alignment module to further excavate underlying intra-modality and inter-modality relationships from unlabeled data, and take full advantage of these correlations to align the feature embeddings in image and sketch domains. Meanwhile, the feature representations are enhanced by the intra-modality clustering relations, leading to better generalization ability to unseen classes. Moreover, we conduct an asymmetric strategy to update the teacher and student networks, respectively. Extensive experimental results on several benchmark datasets demonstrate the superiority of our method.