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."
