Summary: In a zero-sum stochastic game, at each stage, two adversary players take decisions and receive a stage payoff determined by them and by a controlled random variable representing the state of nature. The total payoff is the normalized discounted sum of the stage payoffs. In this paper we solve the “constant payoff” conjecture formulated by S. Sorin et al. [Sankhyā, Ser. A 72, No. 1, 237–245 (2010; Zbl 1209.49035)]: if both players use optimal strategies, then for any \(\alpha > 0\), the expected discounted payoff between stage \(1\) and stage \(\alpha /\lambda\) tends to the limit discounted value of the game, as the discount rate \(\lambda\) goes to \(0\).