As far as I know, Alexander the Great did not lose any major battle. He was known as a brave military commander. And he was able to achieve this height because he was a tactical leader, one who would quickly devise a new war plan or strategy even in the midst of the enemy.
One of the things that really helped him is that he knew how to retreat from a battle anytime it seemed the battle would never be won, he would retreat and strategize. However, history says he did lose some territories to the enemies, especially after he had conquered some territories in India.
During this period, Chandragupta Maurya launched an attack on Macedon soldiers, and he defeated them. Though, we can't really say Alexander was defeated in that battle because Alexander had returned to Macedonia after he suffered serious injuries in the battle. His soldiers were able to conquer Indian territories, but those territories were reclaimed by Chandragupta Maurya.