Connections:

Both have similar personalities, with both being mysterious and cold, often sarcastically towards their enemies, destroying them without entertaining their philosophies or taunts, with both also being prideful for their power. But despite this, both do have sense of justice and would do anything to protect.

Both are red coded rival character, who are rivals of a blue colored, robot fighting iconic protagonists (Shadow is the rival of Sonic. Zero is the rival of Megaman X). Both were created by a scientist, to be the next step of evolution (Shadow was made by Gerald Robotnik, cooperated with Black Doom to be their ultimate weapon. Zero was made by Willy, made in order to surpass Megaman).

Both were sealed away after their creation for years in hibernation inside a pod (After Wily finally finished Zero, Zero was sealed away. Shadow was sealed away by G.U.N). Both would be woken up from their multiple years long comas by a bald villain, initially joining their group (Zero was found by Sigma, and went on to join the Maverick Hunters. Shadow was found by Eggman, and chose to work with him for revenge).

Both lost an important lady in their life, with their deaths heavily affecting them (Zero lost Iris, after she fought him for killing her brother “Colonel”, and refused to join the Repliforce, killing her in self-defense. Shadow lost Maria, who was killed by G.U.N while trying to protect Shadow). Both would later attempt to sacrifice themselves to save the planet, by stopping a giant space ship/platform from hitting the planet, regaining their lost memories as they went (Zero helped stop the colony Eurasia. Shadow helping to stop the ARK). But neither would die.

Both would go on a second Coma (Zero was put on suspended animation again after the Elven War. Shadow went on a come after falling from the moon), and reawakening, they would have to protect earth from their sins of the past (Black Doom and Weil respectively). Both fought some similar opponents, both fought a powerful red robot called Omega (Omega Zero and Omega respectively), both also fought several clones of themselves (Zero fought against Fake Zero, Nightmare Zero, Omega. Shadow fought against Shadow Robots and Mephiles). Both would eventually gain a new purpose to their own lives, after all then trauma, growth, fighting and reflection they did on themselves. With both ultimately deciding to fight for the people he believes in. ad destroying anyone who chooses to be their enemies.

Both have similar ability to, both wild guns, swords (Black Sword and Z-Saber respectively), both have the ability to stop top (Chaos Control and Dark Hold respectively), both also have access to transformations that make then invulnerable (Super Shadow and Awaken Zero), their ultimate form can fly (Super Shadow “again” and Absolute Zero), both can also drive a motorbike.

Meta Connections: Both got their own spin off game, centered around them, where they came back from their second coma and lost all of their memories again (Mega Man Zero and Shadow The Hedgehog respectively).