Ronaldo, a €112-million arrival from Real Madrid, scored his first goal for the Serie A champion on Sunday in the traditional friendly match between Juve's senior side and youth team, FourFourTwo magazine reported.
The Portugal star was a four-time champion of Europe with Madrid and scored twice in the final of 2017, in which Juve was beaten 4-1.
That was the second time in three seasons the Italian giant reached the final only to be defeated by a Spanish side, having lost 3-1 to Barcelona back in 2015.
But with Ronaldo already looking at home in Turin, Allegri hopes 2018-19 could bring about Juve’s first taste of European success since 1996.
"Naturally, we have bigger ambitions of winning the Champions League than in previous years, just as we want the Scudetto, Coppa Italia and Supercoppa Italiana," he told Sky Sport Italia.
"Ronaldo has above all brought experience at international level and is an extra motivation for the younger guys to aim higher. You don't win five Ballon d'Or trophies for nothing and you can see how hard he works to get there.
"However, Real Madrid have won four of the last five editions of the Champions League and they did that through hard work. We've got to work, too, and this is the first time I've really seen the whole squad play together."
Ronaldo was the main attraction in Villar Perosa, but Allegri thinks his team has become much stronger as a whole during the transfer window.
"This is a team built every year to achieve every objective," he added to RMC Sport. "We have more experience now, and there have been the arrivals of Ronaldo, Emre Can, [Joao] Cancelo, [Leonardo] Spinazzola will be available, the return of [Leonardo] Bonucci...
"I would say the team has improved but you can talk about that all day long. There's a field of green where you have to play, you have to run, you have to have great respect for your opponents.
"This year, more than ever, we want to beat everyone."