Bring a medium pot of water to a boil. Prepare an ice-water bath. Place peaches in boiling water and cook 10 seconds. Drain, and immediately transfer peaches to ice-water bath. Remove peels using your fingers or a paring knife. Slice peaches in half and remove pit; set aside.
In a heatproof bowl set over (but not touching) simmering water, add egg yolks, Marsala, and sugar. Beat until mixture is creamy and thick, about 4 minutes. Remove from heat.
Divide peach halves evenly between 4 plates. Fill peach halves with berries and spoon over zabaglione. Serve immediately.