Mendeley Desktop now supports importing your documents directly from Zotero. To do this, you'll need to install Mendeley Desktop onto the same computer as where you have Zotero installed.
Once done, open up Mendeley Desktop and go to Tools > Options (or Mendeley Desktop > Preferences if you're on a Mac) and select the Zotero tab. From here, just enable the checkbox for Zotero integration. Mendeley Desktop will attempt to automatically locate your Zotero database, however you can choose to use an alternate Zotero database if desired.
Once you've clicked Apply, all of your existing documents from Zotero will be imported into Mendeley Desktop, and any future items you add to Zotero should find their way into Mendeley Desktop automatically.