Correct.

As long as you don't sell it, distribute it, or produce it, you're fine.

This is an odd thing in the federal law. Apparently, it is illegal to receive obscene materials, but not strictly speaking to have them. I found the text of the relevant statute here, and in essence the transmission of anything "obscene" between states or countries is illegal, technically. But what is obscene? For that, we have the Miller test:

Whether the average person, applying contemporary adult community standards, finds that the matter, taken as a whole, appeals to prurient interests (i.e., an erotic, lascivious, abnormal, unhealthy, degrading, shameful, or morbid interest in nudity, sex, or excretion);

Whether the average person, applying contemporary adult community standards, finds that the matter depicts or describes sexual conduct in a patently offensive way (i.e., ultimate sexual acts, normal or perverted, actual or simulated, masturbation, excretory functions, lewd exhibition of the genitals, or sado-masochistic sexual abuse); and

Whether a reasonable person finds that the matter, taken as a whole, lacks serious literary, artistic, political, or scientific value.

All of these things are a matter of debate, but I can see officials deciding that all zoo-porn matches this. Frankly, I'd be tempted to argue for its artistic and/or scientific interest in that case, but this is clearly a selectively applied law, when we consider the massive and rather open porn industry.