user@mydomain.com  not the address zoho mail assigned me user@zoho.com as the reply address. 

My domain email is currently being hosted at godaddy and I use their imap and webmail functions. I see zoho needs to validate my domain to be "able to host emails"   Not really sure what that means though. 

I do pay for zoho mail add-on as well as well as the outlook addon for zoho.  

Do I need to change my email hosting from godaddy to zoho? (I won't do this)

Or can I just somehow change the reply address is zoho mail to my user@mydomain.com.

again this is what I'm trying to do

sent emails from the CRM using my regular email address