The Spaniard won the FA Cup with Liverpool in 2006, before two Copa del Rey trophies with Real Madrid in 2011 and 2014.
And, as Bayern prepare for Wednesday's DFB-Pokal quarter-final at Bayer Leverkusen, Alonso is aiming to complete a hat-trick of cup victories.
"I have won the cup in England and Spain. I want to win it here, too," he said.
"Leverkusen are tough to beat. They are a good side and always look to attack. We will need a top performance - it is make or break."
Bayern welcomed Thiago Alcantara back from the bench late in Saturday's 1-0 win at Borussia Dortmund, the midfielder having missed a year with a serious knee injury.
"It is great that he is there again," Alonso said.
"We have seen in those few minutes his enormous qualities. He is so strong on the ball, in one-on-ones and we need a player like that in the big games."
Thomas Muller, meanwhile, has warned that Leverkusen will do their utmost to make life "uncomfortable" - but has challenged his team-mates to end their strong recent defensive run.
"Leverkusen are in excellent shape and they use a style of play which is very uncomfortable for their opponents," said the Germany forward.
"It's a cup game, anything can happen. So we will need a top performance to go through.
"I think it's a good sign that Leverkusen had five clean sheets in a row recently. At some point they have to conceed a goal again."