Alonso sets sights on cup treble with Bayern
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've won the cup in England and Spain. I want to win it here too," he said.
"Leverkusen are tough to beat. They're a good side and always look to attack. We'll need a top performance. It's 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 the 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."