Zurich airport station to St Moritz involves train changes at Zurich main station and Chur. Chur-St Moritz goes over the famous Landwasser stone viaduct (seen in all the brochures) and a spiral tunnel to gain height. St Moritz to Italy, you can take the scenic Bernina Express route to Tirano, Italy, either by the actual Bernina Express with advance reservation panorama cars, or a regular train that follows the same route. In Tirano, you need to walk the short distance to the Trenord station and get a train to Milan.
Zurich airport to Zermatt has train changes at Bern (some times you can get a train that skips this change) and Visp. If the weather is nice, the stretch after Bern has some nice views of the Berner Oberland mountains before going through the long Lotchberg Base Tunnel. Again, with nice weather, you can substitute the Bern-Visp leg with a Bern-Brig regional train that uses the old Lotchberg High Tunnel. At Brig, you can either walk the short distance to the Brig-Zermatt station and get a train to Zermatt, or get a regular train back to Visp (just 6 minutes) where you can get the train to Zermatt. This route adds about 1 to 1 1/2 hours to the journey time. From Zermatt to Italy, take the train back to Brig, short walk to the main Brig station and get an EC train to Milan.