Though Zarkon rules the Galra Empire with an iron fist, that does not mean he runs it alone. Not only does he have numerous generals at his beck and call, but he has a mysterious witch at his side named Haggar.
Not much is known at Haggar, but her power is evident, as she uses energy to both fight, teleport, warp people's minds, and even create vile monsters. Likely, this is through the power of Quintessence, the life force of the universe that she has learned to drain from planets, but it's unlcear at present.
She is very intelligent, and knows how to manipulate and gain trust, likely how she became the right hand of Zarkon. He sided with her over his generals many times in the first season of the show, which proves he trusts her wisdom more than theirs.
She went toe-to-toe with Shiro, and only lost because of interference from the other Paladins, and her monsters have pushed Voltron to the very limit many times. It's very clear that Zarkon isn't the only major threat Team Voltron has to deal with.