Sunday's 2-0 loss to Celta Vigo, in which Real were reduced to nine players after defenders Fran Garcia and Alvaro Carreras were sent off, left the club second in LaLiga with 36 points, four behind leaders Barcelona.
"Football can change quickly... for good or for bad," Alonso told a press conference on Tuesday. "After the Celta match, we've already drawn our conclusions.
"Now it's just City in our minds. It's the Champions League, we're at the Bernabeu. It will be different because of the energy that's created. That's what's on our minds, what's ahead of us."
Asked whether his job could be at risk if Real falter against City, Alonso remained defiant.
"When you coach Real Madrid, you have to be prepared for situations like this. We are a team, we are all united," he said.
"To reverse the disappointment, which is normal, all we're thinking about now is City."
Wednesday's clash will be the 13th meeting between the clubs in the past decade, a rivalry that has intensified as Real and City combined to claim three of the last four Champions League titles.
Real won the competition in 2022 and 2024, beating City en route to both titles, while the English side lifted their maiden Champions League trophy in 2023 after overcoming the Spanish club in the semi-finals that year.
Despite a disappointing run in recent weeks, with two victories in their last seven matches across all competitions, Alonso remained optimistic.
"We're all in this together. United. Convinced that this is an opportunity. We need to have the energy to connect with the Bernabeu. If that happens, we have a chance to win," he said.
"In football, you have to adapt and learn. Some days are good, others are not," he added. "But we are making progress with every match. Good thing we have a challenge tomorrow. The best way to move forward is to face it. It's a challenge that we must rise to."
Real are fifth in the Champions League standings on 12 points, three behind leaders Arsenal. City are ninth on 10 points, chasing a top-eight finish that would secure direct qualification to the last 16.
