We have investigated the critical current density (Jc) and the flux pinning behavior in Zr0.96V0.04B2 superconductor with an AlB2 structure. V substitutions in Zr sites of non-superconducting ZrB2 system lead to superconductivity, and the 4% V-substituted Zr0.96V0.04B2 compounds show the highest superconducting transition temperature (Tc) of ∼8.7 K. The magnetic hysteresis (M-H) loops for the Zr0.96V 0.04B2 demonstrate type-II superconducting behavior in a broad temperature range, and the Jc is estimated from the M-H loops using the Bean model. The analysis of the double-logarithmic Jc(H) plots indicates the dominance of collective pinning in Zr0.96V 0.04B2, and that Jc(H) and magnetic field dependences of the flux pinning force density (Fp) are well fitted by the double exponential model which takes into account the existence of two superconducting gaps. © 2013 AIP Publishing LLC.