Alonso began his career at Real Sociedad. In 2002, he was appointed as team captain of Real Sociedad and he succeeded in the role, taking the club to second place in the 2002–03 season. In 2004, he moved to Liverpool and won UCL there. In 2009, He moved to Real Madrid, where he played 5 seasons. Then, he was signed by Bayern Munich on a two-year contract and he eventually retired from playing in summer 2017. In 2019, he was appointed the manager of Segunda División B club Real Sociedad B!
