Webduring the hashira training arc, a bird brings zenitsu a letter explaining what happened, and shortly after we see him being all serious.
Though if i remember correctly it's not until his fight with kaigaku that we actually learn what the letter said.
Webas revealed in demon slayer chapter 144, titled successors, zenitsu’s letter brought him news about the sudden death of his master and former thunder hashira, jigoro kuwajima.