The Merseyside outfit will take on Los Blancos on May 26 in Kiev in the hope of claiming a sixth European crown for the club.
Zinedine Zidane's side are on their hunt for their third consecutive trophy in the competition, which gives them the edge heading into the showdown.
Alonso, who won the crown with Liverpool in 2005 following a dramatic penalty shootout win over AC Milan in Istanbul, has some advice for the inexperienced players in the Reds' team.
"They have to prepare for the game very well because Real Madrid have all the experience," Alonso told AFP. "For all the Liverpool players it will be their first Champions League final. They have to deal with this emotional side which is almost as important as the football side.
"If they can get the right balance between the excitement and the motivation, that will be the right way to approach this final."
Jurgen Klopp's side have beaten Porto, Manchester City and Roma en route to the final.