Steps to reproduce:

1. Enable MySQL monitoring in Zabbix server and a remote  agent
2. Create /var/lib/zabbix/.my.cnf  per instructions with MySQL credentials.  For OS Linux: You need create .my.cnf in zabbix-agent home directory (/var/lib/zabbix by default)
3. See an MySQL connect error

Result:

# zabbix_get -s 1.2.3.4 -k "mysql.ping[localhost,3306]"
mysqladmin: connect to server at 'localhost' failed
error: 'Access denied for user 'zabbix'@'localhost' (using password: NO)'

Expected:
Successful connect to MySQL

A possible workaround it to add HOME=/var/lib/zabbix/ into /etc/zabbix/zabbix_agentd.d/userparameter_mysql.conf

Kindly advice.

Regards,
Alex.