Both Zanza and Mephiles are split beings from another true being, both of them also successfully kill the protagonist for a short time and are master manipulating gods.
Both had an original hatred for war, which consumed them and made them attempt to destroy humanity, and later believed that humanity wasn't perfect and kept on destroying everything. The major difference is that the war for Zanza is actual tragedy where as Embryo's backstory was to portray how loopy they are. Both also have blonde hair.
Both are gods that have split personalities with a good side and an evil side, and their goals are to destroy humanity because they see them as going against perfect, both of them cause another character to be a villain due to them causing a tragedy.
Both of them are the darkest villains in the original series they were in, and are both fragmental beings that have 1 side that is good and another that is evil. Both nearly kill the protagonists.
Both of them are the main antagonists of the original games, have an obsession with destroying the planet due to some godlike force but in the second game are revealed to be tragic villains that you're meant to sympathise with.