I know how to upload a new version of a document in SharePoint. However, I want to upload the new version of a PDF or a zip file.
Is it also possible to have different version for non-office documents?
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Short answer to your question is Yes.
SharePoint will retain the different versions of the PDF/Zip file. SharePoint doesn't care what type of file it is when it comes to keeping file versions.
You need to enable Versioning for your library from
Library settings --> Versioning Settings.
Then you can upload a your updated file with same name and replace the existing file in document library. You can check all version of you file from Version history.
Check below official documentation for enabling versioning and how to check the version history: