Despite the setup process is pretty easy, it requires some problem solving which takes time. Additionally, the official guide https://www.kali.org/docs/arm/raspberry-pi-zero-2-w-pi-tail/ is outdated, so I decided to make my own. 
Refer to https://github.com/Re4son/RPi-Tweaks/blob/master/pi-tail/Pi-Tail.HOWTO for some general tips. But keep in mind that the values may vary.
- Raspberry Pi Zero 2 W
 - microSD card (32 GB and higher)
 - Micro USB cable to power Raspberry Pi
 - OTG adapter and cable to connect to a smartphone
 - Android smartphone
 - [optional] Laptop/PC (with Linux preferably)
 
- Kali Linux ARM image https://www.kali.org/get-kali/#kali-arm I used 
Raspberry Pi Zero 2 W (PiTail) - Your favourite tool to write an image to microSD card. Both, Rufus and Raspberry Pi Imager work well.
 - Smartphone applications:
- Any SSH client. For example, ConnectBot, JuiceSSH, Termux with SSH installed.
 - [optional] VNC client. For example, RealVNC
 - [optional] Hacker's Keyboard
 
 
- Download Kali Linux ARM image and write it to microSD card
 - Enable WiFi hotspot on the smartphone and connect to it from a laptop. Say, we have a hotspot HomeWiFi and R4t4m4h4tt4 as a password.
 - On the laptop execute 
ip ato get assigned IP address and IP mask. For example,192.168.123.x/24(or255.255.255.0as IP mask) - On the laptop execute 
route -vto get Gateway IP address. For example,192.168.123.173 - Go to 
BOOTpartition on the microSD card and editinterfacesfile:- Rename 
iface sepultura inet statictoiface HomeWiFi inet static - Change IP address from 
192.168.43.254to192.168.123.254 - Change gateway IP address from 
192.168.43.1to192.168.123.173 - [optional] Remove entries for 
mobile-1andmobile-2interfaces. 
 - Rename 
 - [optional] If you want to keep the hotspot password in secret, use the command 
wpa_passphrase <SSID> <PASSWORD>. In our case the command will bewpa_passphrase HomeWiFi R4t4m4h4tt4. This will generate a config. DON'T FORGET TO REMOVE PLAIN TEXT PASSWORD! 
network={
	ssid="HomeWiFi"
	psk=5c69230fd516a10840baf62eff26449e7edd6b821b5bdec86ca2086457674ca4
}
- At 
BOOTpartition find and editwpa_supplicant.conffile:- Add 
id_str="HomeWiFi"string to the config and write it to the file. The larger number inpriority=parameter, the higher the priority. - [optional] Remove the other entries in the file.
 
 - Add 
 - Insert microSD card to Raspberry Pi. Plugin power cable to the Raspberry Pi. The first boot may take some time (~10 min)
 - [optional] You can connect Raspberry Pi directly to smartphone via OTG adapter and micro-USB cable. 
OTG adapter in smartphone, standard cable in Pi-Tail power (USB is free for dongles). More details are here: https://github.com/Re4son/RPi-Tweaks/blob/master/pi-tail/Pi-Tail.README - Wait until the Raspberry Pi connects to your hotspot (you can check the number of connected devices).
 - Connect from smartphone via installed SSH-client to SSH server 
[email protected]default passwordkali - Launch an update in terminal 
sudo apt update && sudo apt upgrade