A multi-zone HVAC&R system has its control programmed to provide diagnostic testing of air handling components and refrigerant components associated with each climate controlled zone in sequence. The control changes the original position of the corresponding component and a resultant change in a relevant operational parameter is sensed. If the actual change is outside of the tolerance band associated with the expected change, then the determination is made that the component under consideration is malfunctioning. The periodicity of a diagnostic procedure for a particular component is typically defined by its criticality and reliability level. If the change in the corresponding operation parameter is recorded and stored in the database, the component degradation can be observed over time and a prognostic prediction can be made when a particular component requires preventive maintenance or replacement.