In the classical lossy source coding problem, one encodes long blocks of source symbols that enables the distortion to approach the ultimate Shannon limit. Such a block-coding approach introduces large delays, which is undesirable in many delay-sensitive applications. We consider the zero-delay case, where the goal is to encode and decode a finite-alphabet Markov source without any delay. It has been shown that this problem lends itself to stochastic control techniques, which lead to existence, structural, and general structural approximation results. However, these techniques so far have resulted only in computationally prohibitive algorithmic implementations for code design. To address this problem, we present a reinforcement learning design algorithm and rigorously prove its asymptotic optimality. In particular, we show that a quantized Q-learning algorithm can be used to obtain a near-optimal coding policy for this problem. The proof builds on recent results on quantized Q-learning for weakly Feller controlled Markov chains whose application necessitates the development of supporting technical results on regularity and stability properties, and relating the optimal solutions for discounted and average cost infinite horizon criteria problems. These theoretical results are supported by simulations.