We consider real orthogonal $n\times n$ matrices whose diagonal entries are zero and off-diagonal entries nonzero, which we refer to as $\mathrm{OMZD}(n)$. We show that there exists an $\mathrm{OMZD}(n)$ if and only if $n\neq 1,\ 3$, and that a symmetric $\mathrm{OMZD}(n)$ exists if and only if $n$ is even and $n\neq 4$. We also give a construction of $\mathrm{OMZD}(n)$ obtained from doubly regular tournaments. Finally, we apply our results to determine the minimum number of distinct eigenvalues of matrices associated with some families of graphs, and consider the related notion of orthogonal matrices with partially-zero diagonal.