Zebra Finches originally come from Australia and the Lesser Sundas. The Zebra Finches you are likely to see in a pet store are all decendants of the Australian sub-species.

The Australian Zebra Finch's natural habitat is the dry and arid areas of Australia. In general, you can find Zebra Finches just about anywhere except most of the coastline and Tasmania.

Because of the large range, Zebra Finches can be found in all of Australia's climatic zones: tropical, subtropical, transitional zone with winter rain, and warm temparate.

Zebra Finches are usually found in open country with grass and some scattered trees and bushes. They live mainly on grass seed.

Australia no longer exports Zebra Finches, so all the "Australian" Zebra Finches we see outside Australia have been bred in captivity for generations.  This information was taken from http://zebrafinch.info