It is known that the Al–Zn–Mg alloys have the highest specific strength among commercial aluminum alloys because of its excellent age hardenability. Recently, several researchers have reported higher strength in Al–Zn–Mg alloys by high-pressure torsion (HPT), one of the typical methods of severe plastic deformation, than by age-hardening treatment. However, it is difficult to apply HPT processing for manufacturing practical parts. In addition, high-strength Al–Zn–Mg alloys often show hydrogen embrittlement in humid environment. In this study, we have investigated the effect of cold rolling on the strength and resistance to hydrogen embrittlement in an Al–8%Zn–2%Mg–2%Cu–0.15%Zr alloy by means of tensile test in the environments of dry nitrogen gas and humid air with 90% relative humidity at several initial strain rates. The specimen cold-rolled by 65% shows higher tensile strength than the specimen heat-treated to peak-aged condition. It is noted that the cold-rolled specimen is not susceptible to hydrogen embrittlement.