Alonso started working as a manager in 2011, being in charge in quick succession of Bella Vista, Club Guaraní, Peñarol and Club Olimpia (the second and fourth sides from the Paraguayan Primera División). In December 2014, he was appointed at C.F. Pachuca of the Mexican Liga MX, leading them to the 2016 Clausura and the subsequent edition of the CONCACAF Champions League. On 4 May 2018, he was released.