Alonso came under serious pressure after back-to-back home defeats to Celta Vigo and Manchester City earlier this month -- with ESPN reporting that club executives were debating his future -- although the team have since posted wins against Alavés in the league, and Talavera de la Reina in the Copa del Rey.
Madrid host Sevilla at the Bernabéu on Saturday in their last game of 2025, before LaLiga's Christmas break.
"No, from the start, from the first conversations we had, we've had a good, close relationship," Alonso said in a news conference on Friday, when asked if he'd appreciate a show of support from the club. "There's trust, respect. With the objectives we have, the demands are high, but it's a long road."
Alonso's Madrid started the season winning 10 games out of 11 in LaLiga, but a run of three consecutive draws in November, followed by the Celta loss, saw them fall behind rivals Barcelona at the top of the table, with a four-point gap going into this weekend.
"At Real Madrid we know we always aspire to everything," Alonso said on Friday. "We know what the final objective is. The way we want to do it is fundamental. We're all united, from the president to the players, to do as well as possible. That's unquestionable."
Alonso refused to give the team a grade for their performance so far this season, saying "we give grades at the end of the year."
Madrid have suffered an injury crisis in recent weeks -- especially in defence -- although Eduardo Camavinga, David Alaba and Ferland Mendy took part in training on Friday.
"The players have trained today, and some will train tomorrow morning," Alonso said. "We'll make a final assessment then."
Alonso denied that he was concerned by Vinícius Júnior's form in front of goal, with the forward having failed to find the net in 13 games in all competitions.
"We talk to Vini, we work with him," Alonso said. "It's about games, moments. He's been close, I don't doubt it's going to come, let's hope it's as soon as possible, tomorrow."
