Bale took his tally to 10 goals in his last seven games with two excellent headers either side of a composed left-footed finish after Karim Benzema had opened the scoring before the Frenchman also smashed home the fifth in stoppage time.
Victory moves Zidane's men back to within two points of leaders Barcelona, who were 4-0 winners over Granada earlier in the day.
Bale was rumoured to have been disappointed by Rafael Benitez's unceremonious sacking after just seven months in charge on Monday.
In stark contrast to Benitez's final days in charge, there was an air of optimism around a packed Bernabeu as the fans braved the freezing January temperatures.
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Zidane's name was chanted before kick-off, whilst on the big screens a video recalled his most glorious moments as a Madrid player, including his sumptious volley to win the 2002 Champions League final.
Deportivo had only been beaten three times this season prior to their visit to the capital, and threatened to spoil the party early on as Keylor Navas was forced to produce a vital save to prevent the on-form Lucas Perez opening the scoring 11 minutes in.
Once ahead, Madrid looked far more dominant and doubled
their advantage seven minutes later when Bale stooped to head home Dani Carvajal's cross.
Having seen his strike partners find the net, Ronaldo obsessively went in search of a goal of his own as he flashed a shot inches wide of German Lux's far post.
The World Player of the Year was then furious with himself as he headed against the post from Bale's inch-perfect cross just before the break.
Having waited over two years for his second Madrid hat-trick when he hit four against Rayo Vallecano just before Christmas, Bale then completed his second hat-trick in four games with another towering header from Toni Kroos's corner.
Bale was given a standing ovation of his own when he was replaced by Jese Rodriguez moments later.
The only thing missing on a perfect night for Madrid was a Ronaldo goal. The Portuguese was left frustrated once more in stoppage time as he failed to take Jese's cross in stride, but the loose ball fell to Benzema who fired home off the underside of the bar.