To pad strings:

>>> print('4'.zfill(3))
004
>>> print('-4'.zfill(3))
-04

To pad numbers:

>>> n = 4
>>> print(f'{n:03}') # Preferred method, python >= 3.6
004
>>> print('%03d' % n)
004
>>> print(format(n, '03')) # python >= 2.6
004
>>> print('{0:03d}'.format(n))  # python >= 2.6 + python 3
004
>>> print('{foo:03d}'.format(foo=n))  # python >= 2.6 + python 3
004
>>> print('{:03d}'.format(n))  # python >= 2.7 + python3
004

String formatting documentation.

fix for your approach:

for i in range(1, 11):
    sentence = f"The value is {str(i).zfill(3)}."
    print(sentence)
    

f-string approach

for i in range(1, 11):
    sentence = f"The value is {i:03}."
    print(sentence)

Make use of the zfill() helper method to left-pad any string, integer or float with zeros; it's valid for both Python 2.x and Python 3.x.

It important to note that Python 2 is no longer supported.

Sample usage:

print(str(1).zfill(3))
# Expected output: 001

Description:

When applied to a value, zfill() returns a value left-padded with zeros when the length of the initial string value less than that of the applied width value, otherwise, the initial string value as is.

Syntax:

str(string).zfill(width)
# Where string represents a string, an integer or a float, and
# width, the desired length to left-pad.