Polish Prime Minister Mateusz Morawiecki, Czech counterpart Petr Fiala and Slovenia's Janez Jansa headed to Kyiv by train in a show of solidarity with Ukraine even as Russian airstrikes and shelling hit the capital and invading forces tightened their grip.
They were the first foreign leaders to visit the capital since Russia's invasion last month.
Zelenskiy, noting that many ambassadors had left Kyiv, thanked the visiting leaders for their support.
Speaking at a news conference, the Polish Deputy Prime Minister and leader of Poland's ruling party, Jaroslaw Kaczynski, said an international peacekeeping mission should be sent to Ukraine and be given the means to defend itself.
Kaczynski is seen as the main decision-maker in Poland.
The Czech Republic and Poland, former communist countries that are members of both the EU and NATO, have been among the strongest backers of Ukraine in Europe since the Russian invasion.
Russian airstrikes and shelling hit Kyiv on Tuesday, killing at least five people, authorities said, as invading forces tightened their grip and the mayor announced a 35-hour curfew.
The visit to Kyiv by the EU leaders was a symbol of Ukraine's success so far in fending off an assault that Western countries believe was aimed at seizing the city weeks ago.
Czech and Polish officials said the mission was coordinated with the EU and agreed upon by its leaders at a summit last week.
However, one official in Brussels said the trip posed serious security risks and could jeopardise negotiations.
Russia calls its actions a "special military operation" to "de-nazify" Ukraine, which Kyiv and its Western allies reject as a pretext for an unjustified and illegal attack.