The diffusion of lanthanide fission products plays an important role in the growth of the fuel-cladding chemical interaction (FCCI) region in metallic fuels. The use of a Zr interdiffusion barrier may mitigate the transport of lanthanides from the fuel to the cladding, but the efficacy of such a liner is not yet known. In this paper, the stability and vacancy-mediated diffusion of La, Ce, Pr, and Nd in hexagonal close-packed (HCP) Zr is investigated via density functional theory (DFT) calculations and self-consistent mean field (SCMF) analysis. DFT is used to calculate the formation, binding, and migration energies of vacancies and vacancy-solute pairs. The DFT energetics are used in the KineCluE code to calculate the Onsager transport coefficients. La is found to be the fastest diffusing species in HCP Zr and experiences an almost isotropic diffusion behavior. The other three species (Ce, Pr, and Nd) demonstrate anisotropic diffusion where the diffusion in the basal planes is significantly faster than that along the c-axis. The calculated lanthanide diffusivities in HCP Zr are fitted to an Arrhenius relation and the activation energies and prefactors are reported for the first time. Furthermore, the vacancy drag and the segregation tendencies were analyzed using the calculated off-diagonal transport coefficients. According to our vacancy-mediated diffusion model, lanthanides are expected to be enriched at vacancy sinks at low temperatures, while at high temperatures, lanthanides are depleted at sinks and will preferably diffuse into the bulk. The enrichment/depletion transition temperature depends on the diffusion direction (basal or axial) and hence will be controlled by the grain texture and orientation.