Intermarche rider Zimmermann pulled away from fellow escapees Mathieu Burgaudeau and Spaniard Jonathan Castroviejo on the summit finish of a mountainous 170.5km ride to Crest-Voland.
"I can't believe it at this moment, I just gave my best and tried everything to be as good as possible, it worked out perfectly," said Zimmermann.
"I could attack on the climb and go full gas and in the end take the sprint, I'm completely speechless."
Reigning Tour de France champion Vingegaard crossed in the main group of race favourites, 48 seconds behind Zimmermann.
The Dane holds a 70-second lead over Ben O'Connor, with Frenchman Julian Alaphilippe 13 seconds further back in third overall.
There are two more mountain stages to close out the race this weekend.
Vingegaard finished second in the 2022 Criterium behind Primoz Roglic before going on to win the Tour.
