The Spaniard has opened up on his journey to joining Los Blancos and his progression from youth-team player to making his debut for the first team.
"I was 11 or 12 when I had my trial with Real Madrid," Alonso told Chelsea's official website.
"My father is a massive Barcelona and Atletico fan because he used to play in those teams. My mum’s family all support Atletico, so it wasn’t easy for them!
"One day they came and they told me: ‘listen, we got this call from Real Madrid, only if you want, it’s just a trial and you can go and see what happens’. That was during the summer. When I went back to Madrid I did the trial and they asked me to stay.
"When I signed I was a winger, and then two or three years after I had to play left-back because of injuries. I did very well, and I had a chance to go to the second team and play left-back, and that’s where I stayed."
His progression saw him earn the chance to train with the first team and eventually make his league debut for the club, moments he recalls as particular highlights.
"I felt the pressure when I was training with the first team. It was good pressure, a good feeling, but of course, it was pressure.
"I was training with Cristiano Ronaldo, Kaka, and I was only 16 or 17 years old. I was going 120 percent! It was a dream come true.
"The day I had to play for the first team, my debut in La Liga, that was unbelievable, but I remember I was so nervous before coming on.
"My legs were shaking when the manager, who was Manuel Pellegrini, called me. Six or seven times I had travelled with them, I warmed up, but I didn’t get a chance.
"But when he called me that day – which was in Santander! - it was an amazing feeling. And I came on for Gonzalo Higuain!"
Alonso and Chelsea are next in action in the Europa League when they face Slavia Prague in the first leg of their quarter-final tie on Thursday.