Rare earth elements (REEs) can be incorporated into zircon at significant concentrations that are controlled by the temperature, pressure, and composition of their growth environment. However, the distribution of REEs between zircon and melt does not always conform to the currently available partitioning data. This study presents evidence of exotic REE behaviors in zircon from the marginal zone of the Koktokay No. 3 granitic pegmatite in Xinjiang, northwest China. The behavior of the Koktokay REEs represents by large negative Ce anomalies, flat heavy REE patterns, and lanthanide tetrad effects. Two generations of zircon (Zrn-I and Zrn-II) are identified, which were formed by dissolution and re-precipitation processes. Zrn-I represents relic zircon domains with dissolution textures that formed from pegmatite melt during the late stage of the magmatic–hydrothermal transition. Zrn-II occurs as overgrowths and infilling fractures around or within Zrn-I, which formed by hydrothermal re-precipitation. From Zrn-I to Zrn-II, the zircon exhibits increasingly negative Ce anomalies and greater enrichment in light REEs and other non-stochiometric elements (e.g., Ca, Al, Fe, and Mg). Given the lack of Ce depletion in the host granite, the negative Ce anomalies in zircon can be attributed to Ce being sequestered into hydrothermal minerals (i.e., cerianite and/or Fe–Mn oxyhydroxides) as tetravalent Ce. In addition, the flat heavy REE patterns of both Zrn-I and Zrn-II likely resulted from the crystallization of heavy REE-enriched minerals, such as zircon and garnet, and were further enhanced by hydrothermal alteration. The two generations of zircon display identical M-type lanthanide tetrad effects in REE patterns, with similar TE3 values. This ubiquitous M-type tetrad effect of the REEs in garnet, zircon, and the host granite can be attributed to the exsolution and subsequent interaction with magmatically derived fluids containing F–aquo-complexes. Therefore, we conclude that such anomalous REE incorporation into zircon from a hydrous pegmatitic melt is controlled by the evolution of the hydrous melt and dissolution–re-precipitation processes. Our results suggest that the reliability of zircon REE partitioning data should be revaluated, and that further experimental studies are needed to fully understand the behavior of REEs in hydrothermal systems.