The Spaniard is still recuperating from a groin injury that required surgery in the summer, but he has revealed that he is on the road to recovery.
"I'm doing individual training work. I'm in the phase before coming back to train with the squad, testing my body, getting back to playing the ball, testing myself with the boots on," he told AS.
"But I still need to put myself through a lot more before I can get back. And it's tougher now the season is up and running because I haven't played at all. You can't trust this injury at all, it's vital to take it day by day.
"I'm close but there is still a little bit to do. I spend all my time talking to the doctors and we don't want to speed up my recovery and make things worse. We are working on it."
Alonso joined Madrid from Liverpool in 2009.