Diffusion MRI is commonly performed using echo-planar imaging (EPI) due to its rapid acquisition time. However, the resolution of diffusion-weighted images is often limited by magnetic field inhomogeneity-related artifacts and blurring induced by T2- and T2*-relaxation effects. To address these limitations, multi-shot EPI (msEPI) combined with parallel imaging techniques is frequently employed. Nevertheless, reconstructing msEPI can be challenging due to phase variation between multiple shots. In this study, we introduce a novel msEPI reconstruction approach called zero-MIRID (zero-shot self-supervised learning of Multi-shot Image Reconstruction for Improved Diffusion MRI). This method jointly reconstructs msEPI data by incorporating deep learning-based image regularization techniques. The network incorporates CNN denoisers in both k- and image-spaces, while leveraging virtual coils to enhance image reconstruction conditioning. By employing a self-supervised learning technique and dividing sampled data into three groups, the proposed approach achieves superior results compared to the state-of-the-art parallel imaging method, as demonstrated in an in-vivo experiment.