The 37-year-old Spaniard is making his second attempt at the event but the accident on Wednesday was the latest in a series of setbacks this year.
Alonso said he had made a “mistake”, adding: “It was understeer and even if I lifted the throttle on the entry of the corner, it was not enough.
“I completely lost the front aero. The wall came too close and too quickly.”
McLaren have set up a new team to run Alonso at the prestigious Indy 500 this year as he seeks to become only the second man in history to complete motorsport’s unofficial ‘triple crown’, which also includes the Monaco Grand Prix and Le Mans 24 Hours, both of which he has already won.
But the team have suffered electronic problems that badly afflicted running in a test last month and then electrical problems cut short their first day of practice on Tuesday. The accident – at Turn Three on the oval track which has average speeds of about 230mph – has cost Alonso more mileage.
Alonso had set 16th fastest time at the time of his accident, his 225.433mph average 3.4mph down on pace-setter Scott Dixon of the Ganassi team.
Alonso, who was taken to the medical centre and released after checks, said: “We will lose a little bit of running time again. I’m sorry for the team, but we will learn and hopefully we will come back stronger tomorrow.
“We worked quite a lot on the car and definitely now it’s quite damaged, so I feel sorry for the team and for my mistake, hopefully tomorrow we’re back on track and back stronger.”
The team said it was unlikely they would run again on Wednesday, but there was a small possibility they might get out for a few laps at the end of day if they felt they could get the car ready without rushing it.
Alonso, who in 2017 qualified fifth with the Andretti team and led the race for 24 laps before retiring with an engine failure in the closing stages, has just two days of practice on Thursday and Friday remaining to prepare for qualifying, which runs over two days this weekend.
Saturday defines positions 10 to 30 on the grid, as well as which nine drivers will go through to compete for pole position and the top positions on the grid on Sunday.
The fastest nine on Saturday then run again on Sunday to compete for pole position.