В CentOS
root ~/mozjpeg # yum search zlib | grep dev ghc-zlib-devel.x86_64 : Haskell zlib library development files zlib-ada-devel.x86_64 : Development files for Zlib-Ada zlib-devel.i686 : Header files and libraries for Zlib development zlib-devel.x86_64 : Header files and libraries for Zlib development zlib-static.i686 : Static libraries for Zlib development zlib-static.x86_64 : Static libraries for Zlib development
Из этого нам нужно: zlib-devel.x86_64 Ее и устанавливаем.
yum install zlib-devel.x86_64