In 2003, a year after her mother died, Alonzo got a job as an office manager at the Addison Improv, and started doing stand-up. Alonzo said that she started doing stand-up as a way to process her grief and talk about her mom and her family. She was part of a small Dallas scene. Alonzo eventually moved to Los Angeles to become a stand-up comedian.
Alonzo spent two years traveling on a bus with the Honduran-born American comedian Carlos Mencia and several other comics. Alonzo ended up leaving the tour. Alonzo then spent a lot of time on the road doing college comedy shows, where she found a lot of success.
Alonzo did a 30-minute segment of Comedy Central‘s The Half Hour on June 7, 2013. She has appeared on Conan, Late Late Show with Craig Ferguson, Gabriel Iglesias Presents Stand Up Revolution, Showtime, Last Comic Standing, The Late Show with Stephen Colbert and Live at Gotham.