This is a really broad, vague question. Do you mean present-day Zambia, or Zimbabwe, or both (they were all "Rhodesia" at one point or another)? It would help to narrow it down a bit.

Generally, for Southern Rhodesia / Zim, Alois Mlambo has a new general history of Zimbabwe out. It's the first general history I've seen that tries to put the entirety in perspective. BJ Phiri's Political History of Zambia is also fairly recent, for Northern Rhodesia / Zambia. If you want the conquest, or the functioning of the British South Africa Company, or something else, narrow it down. /u/profrhodes probably has better general suggestions and advice than I do, though; late SR is his specific field, while I work further south.