He was born at Castel Thun on 7 November 1621, from Wolfango Teodorico of Castel Thun (1593-1642) and from Margherita countess Thun of the Castel Braghèr line († 1652). He was appointed canon of the cathedral of Trento in 1641 and on 5 August 1652 he became archdeacon. From 1663 he was prince bishop of Bressanone, while on 9 January 1668 he was elected prince bishop of Trento. The assignation of the Trentino episcopal chair to Sigismondo Alfonso was bitterly challenged by Cardinal Guidobaldo Thun of the Bohemian line (1616-1668), canon of Trent, archbishop of Salzburg, bishop of Regensburg and aspiring bishop of Trent. Only the death of Guidobaldo allowed the closure of the dispute. Sigismondo Alfonso obtained the pontifical confirmation on 9 September 1669 and on March 31 of the following year he swore on the "compacted". During his own government, distinguished by seriousness and legality, he provided for the restoration of the Palazzo Pretorio and favored the Accademia degli Accesi. He died in the Castello del Buonconsiglio on February 2, 1677, at the age of fifty-six. The body was placed in the Cathedral of S. Vigilio.