This is controled by a zstyle:
zstyle ':completion:*' matcher-list 'm:='
This tells zsh
that small letters will match small and capital letters. (i.e. capital letters match only capital letters.)
If you want that capital letters also match small letters use instead:
zstyle ':completion:*' matcher-list 'm:='
If you want case-insensitive matching only if there are no case-sensitive matches add ''
, e.g.
zstyle ':completion:*' matcher-list '' 'm:='
See also the description of matcher-list
in man zshcompsys
.