When Alexander was ten years old, a trader from Thessaly brought Philip a horse, which he offered to sell for thirteen talents. The horse refused to be mounted, and Philip ordered it away. Alexander, however, detecting the horse's fear of its own shadow, asked to tame the horse, which he eventually managed. Plutarch stated that Philip, overjoyed at this display of courage and ambition, kissed his son tearfully, declaring: "My boy, you must find a kingdom big enough for your ambitions. Macedon is too small for you", and bought the horse for him. Alexander named it Bucephalas, meaning "ox-head". Bucephalas carried Alexander as far as India. When the animal died (because of old age, according to Plutarch, at age thirty), Alexander named a city after him, Bucephala.

During his youth, Alexander was also acquainted with Persian exiles at the Macedonian court, who received the protection of Philip II for several years as they opposed Artaxerxes III. Among them were Artabazos II and his daughter Barsine, possible future mistress of Alexander, who resided at the Macedonian court from 352 to 342 BCE, as well as Amminapes, future satrap of Alexander, or a Persian nobleman named Sisines. This gave the Macedonian court a good knowledge of Persian issues, and may even have influenced some of the innovations in the management of the Macedonian state.