After a brief spell in Argentina for Gimnasia La Plata (he would also represent the club towards the end of his career), Alonso moved to Spain, where he played with five teams in as many years: Valencia, Atlético Madrid (where he scored 22 goals in 2001–02's Segunda División, helping the Colchoneros to return to La Liga and forming an efficient attacking partnership with countryman Fernando Correa, who added 13), Racing de Santander, Málaga and Real Murcia, where he did not have a good scoring record overall.