24 hours after losing the Spanish Super Cup final to Barcelona, Madrid confirmed that they had parted ways with Alonso, who had served just seven months of his three-year contract.
The Spaniard, who played for Los Blancos between 2009 and 2014, only took charge in June and his sacking came as a shock to many who believed he would be given more time by the board.
Speaking on Instagram, Alonso sent a message to supporters as he admitted that his time in Spain did not pan out as expected.
“This chapter of my career has come to an end,” he wrote on Instagram. “It hasn't turned out as we would have liked.
“Coaching Real Madrid has been both an honour and a responsibility.
“I thank the club, the players, and above all, the fans and the Madridista community for their trust and support.
“I leave with respect, gratitude, and the pride of having done my best.”
Real have appointed reserve team boss Alvaro Arbeloa as interim manager as the board searches for a permanent replacement for Alonso, who will be looking for his next opportunity.
Alonso is already being linked with Manchester United and Tottenham as he ponders his future, which could take him anywhere after the success he found with Bayer Leverkusen a few years ago.