The script combine.sh creates an amalgamted source file that can be used with or without zstd.h. This isn't a header-only file but it does offer a similar level of simplicity when integrating into a project.
Create zstddeclib.c from the Zstd source using:
cd zstd/contrib/declib ./combine.sh -r ../../lib -r ../../lib/common -r ../../lib/decompress -o zstddeclib.c zstddeclib-in.c
Then add the resulting file to your project (see the example files).
build.sh will run the above script then compile and test the resulting library.