The series is based on the novel The Price You Pay by Nick Harkaway, published under his pseudonym Aidan Truhen.
Bilbao, Lisbon and London were also used as filming locations.
Zeta-Jones is known for an array of previous roles including Morticia Addams in Netflix’s Wednesday, and an Oscar-winning supporting role in Chicago.
Kill Jackie will be her first major role using her Welsh accent.
She has previously spoken about her strong connection to Wales, adding in her heart she “never really left”.
One fan commented on an Instagram post of the trailer, saying “her Welsh is out and I love it, can’t wait”.
Zeta-Jones said she had been looking forward to the opportunity to explore a female-driven plot that “encompasses empowerment, identity and redemption”.
Damon Thomas, of Killing Eve, also stars in the show while Gangs Of London’s Tom Butterworth is the writer and showrunner of the series.
Kill Jackie will premiere on 2 October on Amazon Prime