The former X Factor winner made her debut as singer Rachel Marron in the show, which is taking place at the Adelphi Theatre in London.
Alex, who has taken over the lead role following Beverly Knight's eight-month run, faced a big challenge, as the role was made famous by the late Whitney Houston in the movie co-starring Kevin Costner.
The 25-year-old took to Twitter this morning to say that last night felt like "a dream". She added: "A big thank you to all of those who came out and supported me on opening night last night. I am eternally grateful. I'm so touched."
Alex was all smiles as she was photographed after the show heading into the Bedford and Strand wine bar, and we're not surprised she had such a huge smile, as she received rave reviews!
One Twitter user said: "She came, she saw, she conquered @alexandramusic & she's only getting started!"
Another added: "@alexandramusic Truly amazing, I'm in awe."
Meanwhile, Alex's mum Melissa was full of praise for her daughter, saying: "Congrats @alexandramusic for @TheBodyguardUK last night. Vocals, acting, character portrayal all ON POINT. We are all real proud." Aww!
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Watch a short clip of Alex singing Whitney's hit, 'I Will Always Love You', which she performs in the musical: