If you already have a dataframe, this is the fastest way:
In [1]: columns = ["col{}".format(i) for i in range(10)]
In [2]: orig_df = pd.DataFrame(np.ones((10, 10)), columns=columns)
In [3]: %timeit d = pd.DataFrame(np.zeros_like(orig_df), index=orig_df.index, columns=orig_df.columns)
10000 loops, best of 3: 60.2 µs per loop
Compare to:
In [4]: %timeit d = pd.DataFrame(0, index = np.arange(10), columns=columns)
10000 loops, best of 3: 110 µs per loop
In [5]: temp = np.zeros((10, 10))
In [6]: %timeit d = pd.DataFrame(temp, columns=columns)
10000 loops, best of 3: 95.7 µs per loop