I didn’t even know there was a Zorro anime until a couple of weeks ago, and I still don’t really know anything about it aside from what’s in this video and the fact that it was co-produced in Italy and particularly popular in Spain. But the series was Kaiketsu Zorro, and the song is “ZORRO” by Masaaki Endoh. (Yes, the singer of the GaoGaiGar theme.)
Yes, they gave Zorro a henshin sequence and a kid sidekick. The kid is actually Bernando, which probably makes no sense to anyone familiar with the Disney TV series.