As an expansion of this answer, this explanation from Quora rings true:

Not all, but most of the English words where X occurs as the first letter are of Greek origin.

Words of Greek origin that begin with 'X' in English are pronounced with a 'Zzzz' sound because the original sound, sort-of like 'Ks-' or 'Ksee-' or 'Kzee-', has not been adopted in English; at least, not in the front of a word.

For example: Xylophone: The word in Greek is ξυλόφωνο, pronounced in Greek a bit like KSEE-loh-fon-o. Similarly: Xeno-

There are a slew of x-initial words in the English language with this pronunciation.