He was initially in the service of Henry IV of France and in 1602, succeeding Frederick II, he remained loyal to the emperors, who confirmed his investiture in the fiefdoms, appointing him a knight of the Order of the Golden Fleece in 1605, the ceremony of which took place on 18 October 1606 in the church of San Pietro in Modena.

He also had an illegitimate son, Galeotto IV, by his lover, the Ferrarese noblewoman Eleonora Segni (or Signa), legitimised by the emperor and destined to succeed his father.

He was suspected, along with other nobles, of participating in the conspiracy against Ranuccio I Farnese, Duke of Parma, which led to the beheading of Pio Torelli, Count of Montechiarugolo, in 1612.

Alessandro was exonerated and, with a diploma of 6 March 1617 signed in Prague by the Emperor of the Holy Roman Empire Matthias of Habsburg (subject to payment of 100,000 florins), he obtained the imperial appointment as Duke of Mirandola.

The siege of Mantua by the troops of Rambaldo XIII di Collalto did not spare some agricultural areas around Mirandola, a city that escaped occupation thanks to the intervention of Alessandro Pico, who pledged his family's gold and agentry.