@SdeWeb Just a minute ago everything worked )) With all steps I described, instead of the 1st one.
I faced with issues when I installed Debian Jessie (https://www.armbian.com/orange-pi-zero/)
but when I tried Ubuntu Xential - everything worked!

By using this img time to time my OrangeZero stops to respond. I'll investigate this later.

But for now I'm happy I set up MYS.
Thanks everyone who was trying to help. And I believe someone would find this post useful, with trying another img.

@pansen Thanks for answering.
Even when I stopped the service
or when I run

./configure --spi-spidev-device=/dev/spidev1.0 --my-transport=nrf24 --my-rf24-ce-pin=2 --my-rf24-cs-pin=13 --my-gateway=serial --my-serial-is-pty --my-serial-pty=/dev/ttyUSB020 --my-serial-baudrate=115200

sudo make

sudo ./bin/mysgw -d

I still see failed logs.

Hi all
I have problems with Orange zero to make it work as a MYS gateway.

What is done:

1. take Debian img from https://www.armbian.com/orange-pi-zero/
2. added /dev/spidev1.0 using instructions from here: https://www.mysensors.org/build/orange
   So I actually see spidev1.0 in ls -l /dev/spidev*
3. wired everything up as is described here: https://www.mysensors.org/build/orange
   So everything is connected to the spi1 pins.
   I used nrf24 with a capacitor and without - same result
4. ran commands

sudo modprobe gpio-sunxi

echo "gpio-sunxi" >> /etc/modules

git clone https://github.com/mysensors/MySensors.git

cd MySensors

./configure --spi-spidev-device=/dev/spidev1.0 --my-transport=nrf24 --my-rf24-ce-pin=2 --my-rf24-cs-pin=13 --my-gateway=serial --my-serial-is-pty --my-serial-pty=/dev/ttyUSB020 --my-serial-baudrate=115200

sudo make

sudo make install

sudo systemctl enable mysgw.service
sudo systemctl start mysgw.service

sudo ./bin/mysgw -d

And I see failed logs

mysgw: Starting gateway...
mysgw: Protocol version - 2.2.0-beta
mysgw: MCO:BGN:INIT GW,CP=RNNG----,VER=2.2.0-beta
mysgw: TSM:INIT
mysgw: TSF:WUR:MS=0
mysgw: !TSM:INIT:TSP FAIL
mysgw: TSM:FAIL:CNT=1
mysgw: TSM:FAIL:PDT
mysgw: TSM:FAIL:RE-INIT
mysgw: TSM:INIT
....

Has anyone set it up for Zero?
What am I doing wrong?

Thanks in advance!