Fine-tuning large language models (LLMs) with classic first-order optimizers entails prohibitive GPU memory due to the backpropagation process. Recent works have turned to zeroth-order optimizers for fine-tuning, which save substantial memory by using two forward passes. However, these optimizers are plagued by the heterogeneity of parameter curvatures across different dimensions. In this work, we propose HiZOO, a diagonal Hessian informed zeroth-order optimizer which is the first work to leverage the diagonal Hessian to enhance zeroth-order optimizer for fine-tuning LLMs. What's more, HiZOO avoids the expensive memory cost and only increases one forward pass per step. Extensive experiments on various models (350M~66B parameters) indicate that HiZOO improves model convergence, significantly reducing training steps and effectively enhancing model accuracy. Moreover, we visualize the optimization trajectories of HiZOO on test functions, illustrating its effectiveness in handling heterogeneous curvatures. Lastly, we provide theoretical proofs of convergence for HiZOO. Code is publicly available at https://anonymous.4open.science/r/HiZOO27F8.