It is known that the zeros of orthogonal polynomials of successive degrees interlace on the interval of orthogonality. This paper investigates ultraspherical polynomials \(C_n^{(\lambda)}\) orthogonal with respect to the weight function \((1-x^2)^{\lambda-1/2}\) on the interval \([-1,1]\). For \(\lambda>-1/2\) the polynomial \(C_n^{(\lambda)}\) of degree \(n\) is orthogonal to all polynomials of lower degree and has all its zeros in \([-1,1]\). For \(-3/2<\lambda<-1/2\), the two extreme zeros leave the interval. Then \(C_n^{(\lambda)}\) is quasi-orthogonal of order two, i.e., it is only orthogonal to all polynomials of degree \(n-3\) w.r.t.\ \((1-x^2)^{\lambda+1/2}\). See [\textit{C. Brezinski} et al., Appl. Numer. Math. 48, No. 2, 157--168 (2004; Zbl 1047.33002)] where also some interlacing property is proved. This paper complements these interlacing results by proving interlacing for the zeros of the pairs \(C_n^{(\lambda)}\) and \(C_{m}^{(\lambda+k)}\), for \(k=0,1,2\) and \(n-m<3\).