You Do Need power plug adapter while traveling from Saint Helena to Zambia.

Here is Why You Need An Adapter

The outlet and plug type used in Zambia are C, D and G and in Saint Helena is G. This is how they look like.

Saint Helena

In Saint Helena, outlets of type G are in use.

Type G

Zambia

In Zambia, outlets of type C, D and G are in use.

Type C

Type D

Type G