Chances are, you know about the two Legendary Pokémon found in both X and Y versions, Xerneas and Yveltal respectively. However, as speculated, there is indeed a third Legendary Pokémon for the letter Z called Zygarde. However unlike Xerneas and Yveltal, you will have to wait until post game to capture him.
The pre-requisite to go and find Zygarde is that you have to beat the Elite Four first. After what, you'll have to go to Terminus Cave, which is located just off from Route 18. Terminus Cave is tough and long, so bringing along plenty amount of healing items is recommended. Also, make sure you save your game right before the battle, as you'll be able to see Zygarde on the map.
Zygarde is located at the very bottom of Terminus Cave. He'll be level 70, and his type is Dragon/Ground, so bringing in a team that can withstand his attacks, while being careful not to kill him.
Moves that can put Zygarde to sleep are highly recommended, as well as a Pokémon with the ability False Swipe. This move will always leave at least 1HP on any Pokémon, making it one of the best moves to utilize when battling Pokémon you want to catch.
If you already used your Master Ball on Xerneas or Yveltal, just make sure you have a bunch of spare Ultra Balls with you.
