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In the initial sections of this contribution, it is given an overview of several bibliographic items, indicating properties and applications of the exceptional orthogonal polynomial sequences, as well as the background results of the problem inhere solved. More precisely, in this paper, the author clarifies the behaviour of the zeros of the exceptional orthogonal polynomials, most in particular, the behaviour of the zeros that exist outside the support of the classical measure of orthogonality, which are named as exceptional zeros.  The three main results provide estimates on the rate of convergence of these exceptional zeros to their limit points.  Considering the construction of the exceptional Jacobi polynomials given in [\\textit{N. Bonneux}, J. Approx. Theory 239, 72--112 (2019; Zbl 1410.33026)], the author proves that the estimate given in that reference is sharp when the partition \\(\\lambda\\) is even and also provides the precise leading order asymptotics.  Analogous results are proved with regard to the exceptional Laguerre polynomials established in [\\textit{N. Bonneux} and \\textit{A. B. J. Kuijlaars}, Stud. Appl. Math. 141, No. 4, 547--595 (2018; Zbl 1408.33019)] and the Hermite exceptional polynomials addressed in [\\textit{A. B. J. Kuijlaars} and \\textit{R. Milson}, J. Approx. 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