Zearalenone (ZEN) is a mycotoxin produced by Fusarium species. ZEN mainly appears in cereals and related foodstuffs, causing reproductive disorders in animals, due to its xenoestrogenic effects. The main reduced metabolites of ZEN are α-zearalenol (α-ZEL) and β-zearalenol (β-ZEL). Similarly to ZEN, ZELs can also activate estrogen receptors; moreover, α-ZEL is the most potent endocrine disruptor among these three compounds. Serum albumin is the most abundant plasma protein in the circulation; it affects the tissue distribution and elimination of several drugs and xenobiotics. Although ZEN binds to albumin with high affinity, albumin-binding of α-ZEL and β-ZEL has not been investigated. In this study, the complex formation of ZEN, α-ZEL, and β-ZEL with human (HSA), bovine (BSA), porcine (PSA), and rat serum albumins (RSA) was investigated by fluorescence spectroscopy, affinity chromatography, thermodynamic studies, and molecular modeling. Our main observations are as follows: (1) ZEN binds with higher affinity to albumins than α-ZEL and β-ZEL. (2) The low binding affinity of β-ZEL toward albumin may result from its different binding position or binding site. (3) The binding constants of the mycotoxin-albumin complexes significantly vary with the species. (4) From the thermodynamic point of view, the formation of ZEN-HSA and ZEN-RSA complexes are similar, while the formation of ZEN-BSA and ZEN-PSA complexes are markedly different. These results suggest that the toxicological relevance of ZEN-albumin and ZEL-albumin interactions may also be species-dependent.