The Gulf of Zula, also known in various accounts as Annesley Bay, the Bay of Arafali (or Baia di Arafali), or the Gulf of Arafali, is a body of water on the Eritrean coastline on the Red Sea, located at latitude 15.1°, longitude 39.7°.

The Gulf lies near the midpoint of the Eritrean coast, between the Foro province and the Buri Peninsula of the Ghelae'lo province, both in the country's Northern Red Sea region. It also marks the territorial division between the Saho people and the Afar people.