Confirm that you have your Magento credentials filled in on the Zentail integrations page (Hamburger > Integrations > Magento).
Confirm your site is not set to WS-I compliant by checking System > Configuration > Magento Core API (Magento help article). Note: in some cases, toggling this to Yes, and then back to no after ~30 minutes has worked.
Confirm that adding "/api/v2_soap?wsdl" to the URL on your integrations page properly loads. If not, the URL is wrong.
If none of these have worked, Zentail support will be able to work with you to do additional troubleshooting. Confirm with them that you were able to look at the above possibilities.