It's a common story reported in ancient biographies of Caesar that he cried when he was a quaestor in Spain at age 33 because his accomplishments paled in comparison to Alexander's when he died at 33.

It's reported by:

Suetonius (Div. Jul. 7):

As quaestor it fell to his lot to serve in Further Spain. When he was there, while making the circuit of the assize-towns, to hold court under commission from the praetor, 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 p11 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.

Dio Cassius (XXXVII.52, 2):

He was eager for glory, emulating Pompey and his other predecessors who at one time or another had had great power, and his aspirations were anything but small; in fact, he hoped, if he should at this time accomplish something, to be chosen consul immediately and to display mighty achievements. He was especially encouraged in this hope by the fact that while at Gades, when quaestor, he had dreamed of intercourse with his mother, and had learned from the seers that he should enjoy great power. Hence, on beholding there a likeness of Alexander dedicated in the temple of Hercules, he had groaned aloud, lamenting that he had performed no great deed as yet.

and Plutarch (Life of Caesar 11.5-6):

In like manner we are told again that, 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. 6 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?"

Obviously ancient biographies were sometimes apt to go with a good story instead of just reporting actual facts, so I don't think we can be sure that this specific anecdote really happened, but it's pretty safe to say that Caesar with a formal Roman education, being fluent in Greek, knew about Alexander. It certainly wouldn't have been an obscure piece of knowledge. He obviously also spent a fair amount of time in Alexandria and with the Ptolemaic dynasty in Egypt who were the last of Alexander's successor kingdoms.

In short, yes.

Alexander’s conquests led to the spread of Greek culture throughout the Near East, and Rome eventually adopted that same culture.

The Greek writer Arrian (late first though mid second centuries CE) wrote famous histories about Alexander which are, in fact, sometimes referred to as the most accurate primary sources about Alexander’s conquests we currently posses to the actual time Alexander lived. Even so, Arrian’s writings date to some 450 years after Alexander’s lifetime. Nevertheless, Alexander was a sufficiently well known figure prior to Arrian’s writing, otherwise it is unlikely Arrian would have written anything about him. Arrian was born about 120 years after Caesar’s death so general knowledge about Alexander certainly stretched back to Caesar’s own time.

In Plutarch’s Life of Caesar he relates a story where Caesar is himself reading a history of Alexander and has an emotional moment:

“It is said that another time, when free from business in Spain, after reading some part of the history of Alexander, he sat a great while very thoughtful, and at last burst out into tears. His friends were surprised, and asked him the reason of it. ‘Do you think,’ said he, ‘I have not just cause to weep, when I consider that Alexander at my age had conquered so many nations, and I have all this time done nothing that is memorable.’”

Plutarch, it should be noted, was a moralist and a biographer first, a historian second. He was purposely looking for dramatic moments to include in his work that has become known as Parallel Lives. He was deliberately attempting to compare the lives of great men such as Alexander and Caesar.

Suetonius, a Roman writer who was roughly contemporary with Plutarch, and who wrote The Lives of the Twelve Caesars records the same account of Caesar lamenting not being the equal of Alexander, though in a slightly different way:

“As quaestor it fell to his lot to serve in Further Spain. When he was there, while making the circuit of the assize-towns, to hold court under commission from the praetor, 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.”

The slight difference in Suetonius’ version as opposed to Plutarch revolves around Caesar’s reaction to Alexander’s apparent glory. Whereas Plutarch has Caesar bursting into tears, Suetonius has him sighing or groaning. A similar response, to be sure, but not identical. Evidently, Caesar desperately wanted to be like Alexander and, at least during his time as quaestor in Spain (69-67 BCE) he felt he had not achieved it.

This same time period of Caesar’s weeping over his inadequacy compared to Alexander happens to coincide with the conquests of Caesar’s contemporary Pompey the Great in the east. Pompey was at the height of his fame during this time and was often called “the new Alexander” because of his military successes. Another player at this time was Mithridates VI of Pontus, an eastern king who had long been a thorn in the side of Rome. Mithridates was said to be a descendant of Alexander the Great’s generals and claimed to possess certain artifacts that had once belonged to Alexander himself, notably Alexander’s cloak.

In addition to the last of the Mithradatic Wars (the Roman Wars against Mithradates) taking place during the time that Caesar was politically active, Caesar’s uncle by marriage, the famous general Gaius Marius, had supposedly met Mithradates face to face decades earlier, and dressed him down as only a Roman statesman could. In addition, the first Roman civil war was launched in 88 BCE when Uncle Marius connived to steal the command of the war against Mithradates away from the elected consul Lucius Sulla. So Mithradates, who’s big claim to fame was his association with Alexander the Great, was a figure who figured very prominently into the political life of Rome during Caesar’s lifetime and even played a role in certain events in Caesar’s own family.

All of this is to say that yes, there was significant knowledge about Alexander the Great available to Caesar and that Caesar personally knew of this information. Whether in written histories, by cultural diffusion, or concerning political and military rivals/enemies (Pompey and Mithradates) Julius Caesar certainly was aware of Alexander the Great.

EDIT: Edited per u/Iphikrates correction