Dense passage retrieval models have become state-of-the-art for information retrieval on many Open-domain Question Answering (ODQA) datasets. However, most of these models rely on supervision obtained from the ODQA datasets, which hinders their performance in a low-resource setting. Recently, retrieval-augmented language models have been proposed to improve both zero-shot and supervised information retrieval. However, these models have pre-training tasks that are agnostic to the target task of passage retrieval. In this work, we propose Retrieval Augmented Auto-encoding of Questions for zero-shot dense information retrieval. Unlike other pre-training methods, our pre-training method is built for target information retrieval, thereby making the pre-training more efficient. Our method consists of a dense IR model for encoding questions and retrieving documents during training and a conditional language model that maximizes the question’s likelihood by marginalizing over retrieved documents. As a by-product, we can use this conditional language model for zero-shot question generation from documents. We show that the IR model obtained through our method improves the current state-of-the-art of zero-shot dense information retrieval, and we improve the results even further by training on a synthetic corpus created by zero-shot question generation.