At one point, a fake home-made bomb was sent to the club with the words "Hulk out", and his sister spent a day in the hands of kidnappers back in Brazil before being released unharmed.
The powerful 26-year-old, however, insisted that it was all in the past and he intended to stay with the Russian champions for the foreseeable future.
Hulk, full name Givanildo Vieira de Souza, joined Zenit in September for a Russian league record of 60 million euros ($78.52 million).
Previously at Porto, where he averaged over a goal every two games for four seasons, he said moving to Russia was not a decision he took lightly.
"I thought hard about it and I don't regret it," he told a news conference at Stamford Bridge, where Brazil face Russia in a friendly on Monday.
"I wanted a different adventure. I like playing in the Russian championship, it may not be the (English) Premier League but it's improving and in a few years will be one of the best in Europe."
It was certainly not plain sailing early on as Zenit demoted Russia skipper Igor Denisov to the reserve team in September after he refused to play, issuing an ultimatum to renegotiate his contract in line with what Hulk was making.
Denisov later apologised and was allowed back.
"There was a bit of jealousy at the start, but that was before they got to know me. It's all been overcome and they have received me very well," said Hulk.
Around the same time, Russian media reports said a fake home-made bomb, hidden in a bag, was found at the club's training ground with a picture of the player. Zenit did not deny the story but would not comment.
In December, Hulk was involved in a heated exchange with coach Luciano Spalletti after being substituted in the Champions League win at AC Milan and threatened to leave the following month.
"I enjoy my work and I am enjoying playing there," said Hulk. "I went there to do my best, play my football."
Hulk said he was even tired about speculation about a possible move to a more glamorous league.
"Everyone knows me well in Europe, I play in the Champions League," he said after being asked if playing at Stamford Bridge on Sunday would give him greater visibility.
"It's always the same thing, this speculation about my future, but I have a five-year contract and I'm still young.
"I'm fine, I'm at Zenit and my future is in the hands of God."
Hulk, firmly established in the Brazil squad since the last World Cup, has taken a roundabout route to the international fold.
Having played only one professional match in his homeland for Vitoria, he moved to Japan to play for Kawasaki Frontale in 2006.
He then played for two other Japanese clubs before joining Porto, where he began to make his name.
"I left Brazil at a very young age and sometimes people don't know how I play, they think I'm a lumbering number nine," he said.
"I'm better known in Europe than in Brazil. "It hasn't been easy. I know I had to chase success, and I went through many difficulties, but I wanted to win in life and I wanted to be able to buy and house for my parents."
- Sports & Recreation