Alexander was born in Cetinje in Montenegro in December 1888. His father was King Peter I of Serbia and his mother Zorka of Montenegro.
On 8 June 1922 he married Princess Mary of Romania, the daughter of King Ferdinand of Romania.
On account of the deaths of three members of his family on a Tuesday, Alexander refused to undertake any public functions on that day. On Tueday 9 October 1934 he had no choice, as he was arriving in Marseilles to start a state visit to the Third French Republic. When being driven in a car through the streets along with French Foreign Minister Louis Barthou, a gunman in the crowd shot the King, the Minister and the chauffeur. It was one of the first assassinations captured on film; the shooting occurred straight in front of the cameraman, who was only feet away at the time. The cameraman captured not merely the assassination but the immediate aftermath; the body of the chauffeur (who had been killed instantly) became jammed against the brakes of the car, allowing the cameraman to continue filming from within inches of the King for a number of minutes afterwards. The assassin was cut down by the sword of a mounted French policeman, then beaten by the crowd. By the time he was removed from the scene, he was already dead.
The film record of Alexander I's assassination remains one of the most historic pieces of newsreel in existence, alongside the film of Tsar Nicholas II of Russia's coronation, the funerals of Queen Victoria of the United Kingdom and Emperor Franz Josef of Austria, and the assassination of John F. Kennedy.