The former Real Madrid coach, who took over on July 1st, is without many of his big guns for their pre-season tour and played 60 minutes with a side full of youth at Stadium Australia.
It was a seesawing affair, with Chelsea coming from behind three times.
Kazakh 17-year-old Dastan Satpaev lashed home on his debut in the sixth minute, but Chelsea then conceded twice with their defence run ragged before Portugal youth international Dario Essugo made it 2-2.
The Sydney side again then went 3-2 and 4-3 ahead in the second half before Pedro's heroics.
It was a confidence boost for Alonso, who faces a huge task to get Chelsea back in the running for major honours after their 10th-place finish last season and failure to make Europe.
An even tougher test will come on Saturday when they meet London rivals Tottenham Hotspur at the same venue before further friendlies in Hong Kong, Indonesia and Malaysia.
Chelsea have made four key summer signings so far as they rebuild - attacking midfielder Morgan Rogers, winger Geovany Quenda, defender Marco Palestra and striker Emmanuel Emegha
Only Italy's Palestra, who arrived from Serie A side Atalanta, is on the tour, with their World Cup players also absent, including England's Reece James and Argentina's Enzo Fernandes.
Alonso deployed a 4-2-3-1 formation with Josh Acheampong, Liam Delap, and Tosin Adarabioyo - who began as captain - providing experience to a team featuring several youngsters who came through the Chelsea academy.
They got off to a flyer when Satpaev raced clear after a lovely through ball by Ryan Kavuma-McQueen and powerfully finished at the near post.
But it was a fleeting lead with the Wanderers' Anthony Pantazopoulos nodding home from a corner eight minutes later, with Chelsea guilty of poor defending.
It sparked the home team into life, and Aydan Hammond made it 2-1 with a cool side-footed finish after Chelsea were sliced open again at the back.
Essugo's goal was quality, finishing off a flowing move with a one-two off Reggie Walsh before stroking into the far corner to send them to the break all square.
Once again Chelsea went to sleep, and a lovely turn and finish from Dylan Scicluna put the Sydney side 3-2 ahead in the 62nd minute, with Alonso making nine changes immediately after.
On came Cole Palmer and Pedro, and the intensity lifted to set up a sensational finale that witnessed five more goals.
