ZHFE, proposed by Porras et al. at PQCrypto’14, is one of the very few existing multivariate encryption schemes and a very promising candidate for post-quantum cryptosystems. The only one drawback is its slow key generation. At PQCrypto’16, Baena et al. proposed an algorithm to construct the private ZHFE keys, which is much faster than the original algorithm, but still inefficient for practical parameters. Recently, Zhang and Tan proposed another private key generation algorithm, which is very fast but not necessarily able to generate all the private ZHFE keys. In this paper we propose a new efficient algorithm for the private key generation of the ZHFE scheme. Our algorithm reduces the complexity from O(n2ω+1) by Baena et al. to O(nω+3), where n is the number of variables and 2 <ω<3 is a linear algebra constant. We also estimate the number of possible keys generated by all existing private key generation algorithms for ZHFE. Our algorithm generates as many private ZHFE keys as the original and Baena et al.’s ones. This makes our algorithm be the best appropriate for the ZHFE scheme.