We present the results of the first search for a new particle X produced in $p\bar{p}$ collisions at \sqrt{s}=1.96 TeV and subsequently decaying to Z\gamma. The search uses 0.3 fb$^{-1}$ of data collected with the D{\O}detector at the Fermilab Tevatron Collider. We set limits on the production cross section times the branching fraction $\sigma(p \bar{p} \to X) \times B(X\to Z\gamma)$ that range from 0.4 -- 3.5 pb at the 95% C.L. for $X$ with invariant masses between 100 and 1000 GeV/$c^2$ over a wide range of $X$ decay widths.

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