Of course, Real Madrid is one of the best in Europe, but their performances so far have been starkly different. Real Madrid failed to win a single trophy last season,
They weren't entirely trophyless though. If you are in doubt, you can ask me to name the trophies they won last season or even Google/ChatGPT is your friend. 
The disappointment mostly comes because they were so close to winning the La Liga and Cope Del Rey, and they just let Barcelona dominate them
Alonso must immediately overhaul his squad to achieve balance across all areas. Weak defense, a lack of creativity in midfield, and a lack of sharpness in attacking must be solved. Real Madrid has a good squad, but I can't find a reason behind their decline in form, which raises questions.
I may be wrong, but I believe Alonso is the kind of coach that may need time and patience to build his winning team. He may have had his immediate success in Bayer Leverkusen, but Real Madrid is all together a very different challenge that comes with a lot of pressure and demands.