Since Elmo is three-and-a-half, and since Zoe was initially conceived as visual on-screen couterpart for Elmo, I was always under the impression that she was around three herself.
But then again, the ages of the characters arent' ALWAYS consistant... even though for the most part, but not always.
Elmo became four in Cinder-Elmo; Big Bird was originally four-and-a-half when Caroll Spinney first made him a child, before changing his age to six; nobody knows the exact ages for either Bert or Ernie, but it's suggested that Ernie is a child from his "Doctor Ernie" bit where he mentions he still has to go through grade school, high school, college, residency, etc.