I thought at first you had got the story a bit wrong, and I was reminded of Plutarch's anecdote:

in Spain, when he was at leisure and was reading from the history of Alexander, he was lost in thought for a long time, and then burst into tears. His friends were astonished, and asked the reason for his tears. "Do you not think," said he, "it is matter for sorrow that while Alexander, at my age, was already king of so many peoples, I have as yet achieved no brilliant success?"

But /u/xenophontheathenian reminded me of Suetonius, probably relating the same story:

he came to Gades, and noticing a statue of Alexander the Great in the temple of Hercules, he heaved a sigh, and as if out of patience with his own incapacity in having as yet done nothing noteworthy at a time of life when Alexander had already brought the world to his feet, he straightway asked for his discharge, to grasp the first opportunity for greater enterprises at Rome.

Plutarch is the earlier of the two, though the story isn't quite the same. Plutarch places this incident at the beginning of his tenure in Spain, while Suetonius places it at the end. That makes me suspect it's apocryphal, and also that it only makes sense to compare Caesar to Alexander after everything is over.