'Zounds' was certainly considered to be a swear word in Shakespeare's time, and quite a racy one at that. Check out 'Holy Shit: A Brief History of Swearing' by Melissa Mohr if you want a more in-depth look at swearing from the Romans onwards.

EDIT: from a review of the book from the LRB by Colin Kidd. Apologies for the length, and it is behind a paywall and a review, so don't know if it's valid here, but for what it's worth:

"Mohr’s claim that the holy oath was in decline by about 1600 is also broadly true, but is again a rather rough guide to literary practice. Acts of swearing are particularly prone to turn into cliché or aural rubble, and tend to enter written sources at a point when they still have a slight thrill of the forbidden but before they have become completely routine. This means that the force of an oath can be hard to detect in retrospect, since we may simply filter out a phrase which in its day had traces of profane power but which came soon afterwards to function as a more or less neutral conversational filler. ‘Swearing’ in the dual sense of using bad language and making holy oaths is absolutely central to Othello, for instance, but it’s sometimes difficult for our ears, attuned to highly-coloured techno-filth, to hear its force. Take this exchange between Othello and Desdemona:

OTHELLO: What, not a whore? DESDEMONA: No, as I shall be saved. OTHELLO: Is’t possible? DESDEMONA: O, heaven forgive us! OTHELLO: I cry you mercy, then: I took you for that cunning whore of Venice That married with Othello.

Desdemona swears on the future of her soul, ‘as I shall be saved’, that she is true. She is the only person in Shakespeare to use that phrase, though it’s said to have been quite common in spoken English of the period. In the written record, however, it tends to be used with great seriousness by those swearing to the truth of a piece of evidence. In a sense Desdemona’s tragedy is that she uses slightly commonplace language when she really really wants to swear she means it. She does it again with ‘O, heaven forgive us!’, which again says exactly what she means, but which at this date could function as a general exclamation rather than as a specific prayer for divine mercy. Othello’s response to her oath is incredulous, and suggests that he regards it as a piece of soul-threatening perjury lightly tossed off in order to get out of an awkward encounter: his ‘Is’t possible?’ has the force of ‘Can’t you hear that you’re damning yourself by swearing on your salvation to a lie?’ And Desdemona’s oath plays a part in goading him to make an exceptionally violent insult. Calling a lover a ‘whore’ to her face is in Shakespeare almost unutterably foul. Antony refers to Cleopatra as a ‘whore’ after she has betrayed him in battle, but does so only in her absence. Posthumus in Cymbeline calls Innogen a whore, but again not to her face. The only other person in Shakespeare to use the ‘w’ word directly of and to his wife is Iago. Desdemona herself won’t allow the word past her lips except in quotation marks (‘Am I that name, Iago? … I cannot say “whore”’). Even Othello softens the insult first with ‘What, not a whore?’ and then flinches from its direct use with ‘I took you for that cunning whore of Venice.’ Neither of the characters, nor their relationship, can survive this moment, which violates two key principles: that you accept someone’s solemn oath, and that it is unutterably wrong to call your wife a whore. The performance of swearing – not only speaking bad words but also formally making oaths – drives this play along."

Side question: If I were on the streets of Verona (or London for that matter) and bit my thumb at someone, would it start a fight?