In the mid-1980s, Zaffino made a trip to the U.S. with Ricardo Villagran, who was working for Comico at the time. On that trip, Zaffino met comics writer Chuck Dixon, and together they produced Winter World, a three part series for Eclipse.
They continued to collaborate on comics, producing the seminal Punisher graphic novels Kingdom Gone and Assassin's Guild, and a Savage Sword of Conan story titled The Horned God. During this time, Zaffino worked regularly with comics writer Dan Chichester on various comics, including Critical Mass, and Terror Inc.. He did relatively little work in the U.S. comics industry, where he is mostly known for his art in Punisher, Clive Barker's Hellraiser and The 'Nam for Marvel Comics. Zaffino’s last work in the US was a story written by Dixon for the 1996 Batman Black and White mini series. He continued working for the Argentine comic market, but focused on his work as a painter.
A follow up to Winter World called Winter Sea was entirely written and drawn for Marvel Comics, but was never published due to changes of Marvel's policy on creator-owned books at the time. A third chapter of the Winter World saga was also planned, titled Winter War. In January 2010, a hardcover edition containing Winter World and Winter Sea was published through IDW Publishing.