The development of sustainable dyeing strategies that combine natural colorants with advanced surface modification technologies is of increasing interest in the textile industry. In this study, zinc oxide (ZnO) nanoparticles were employed to modify wool yarns prior to dyeing with cochineal, pH-sensitive natural colorant rich in carminic acid. ZnO nanoparticles were deposited onto the wool fibers using an ultrasonic-assisted treatment, and the influence of the surface modification on dye uptake, color characteristics, and fastness properties was subsequently evaluated. The extraction conditions of the cochineal colorant, including insect concentration, solvent-to-material ratio, and pH, were systematically investigated to obtain an intense lacquer-red shade. The results demonstrated that the pH of the dye bath played a critical role in determining dye uptake and color development, with mildly alkaline conditions (pH 8–10) promoting higher color absorption and deeper shades on wool yarn. Compared with untreated wool, 0.5% ZnO-modified yarn exhibited enhanced color strength and improved resistance to washing, together with changes in its optical characteristics, indicating a stronger interaction between the wool substrate and the cochineal colorant following nanoparticle treatment. The enhanced dyeing performance is attributed to the modification of the wool surface by ZnO nanoparticles, which may provide additional active sites and facilitate interactions between the carminic-acid-based colorant and the keratin matrix. Overall, the findings demonstrate that ultrasonic-assisted ZnO nanoparticle modification is a promising strategy for improving the dyeing performance and fastness of cochineal-dyed wool yarn. The approach also highlights the potential of ZnO nanoparticles as a nanoscale mordant or mordant-assisting agent for sustainable natural dyeing of protein-based textile fibers.