Chelsea entered the match with seven points from their opening four league games, but Brentford produced a strong second-half performance to claim all three points at the Gtech Community Stadium.
• Brentford: Jaidon Anthony 61', Igor Thiago 83', Fábio Carvalho 90+4'
• Chelsea: No goals
Chelsea had the better of the opening 45 minutes and created some promising opportunities. Pedro Neto forced an excellent save from Caoimhín Kelleher, while Morgan Rogers also saw a goalbound effort blocked by the Brentford defence.
Despite Chelsea's positive start, neither side could break the deadlock before half-time, with Brentford largely relying on set-pieces, long throws and counter-attacking opportunities.
The game changed shortly after the restart.
In the 61st minute, Mikkel Damsgaard's corner was headed back across goal by Jannik Schuster, allowing Jaidon Anthony to arrive unmarked and nod the ball into the net from close range.
Chelsea responded by increasing the pressure and forcing Brentford to defend for extended periods. The visitors won a succession of corners and had several shots blocked as they searched for an equaliser.
However, Brentford proved dangerous on the counter.
In the 83rd minute, Kevin Schade was played through and his effort was saved by Emiliano Martínez, but the rebound fell kindly for Igor Thiago, who finished from close range to double the hosts' advantage.
Chelsea then pushed forward in search of a way back into the match, but Brentford remained organised and continued to threaten in transition.
The final blow arrived in stoppage time when Schade's cross was deflected into the path of Fábio Carvalho, who fired home at the far post to complete a 3-0 victory.
Chelsea remain on seven points
The defeat leaves Chelsea on seven points after five Premier League matches. It was their first league defeat since the campaign began and came in their final fixture before the international break.
Alonso made five changes to his starting XI, with Jordan Henderson making his Chelsea debut and Pep Chavarría, Valentín Barco and Danny Welbeck also starting. Sixteen-year-old Mahdi Nicoll-Jazuli came on late to make his senior debut for the club.
Chelsea will now have an extended break before returning to Premier League action against Bournemouth at Stamford Bridge on 10 October.
For Brentford, the victory provided a significant result against their London neighbours and moved them to third place in the early Premier League table, according to reports following the match.