http://www.hellenicaworld.com/Greece/Person/en/AlexanderTheGreat.html
All mortals should live like one, united, and peacefully working towards the common good. You should regard the whole world as your country, a country where the best govern, with common laws, and no racial distinctions. I do not separate people, as many narrow-minded others do. I am not interested in the origin or race of citizens; I only distinguish them on the basis of their virtue. For my part, I consider all, whether they be white or black, equal. Alexander The Great.
The sentiment seems rather modern so I am skeptical of its authenticity.
Your skepticism is well founded. No, that speech is a fabrication promoted by a Greek politician over 2000 years after Alexander's death. Even a cursory study of Alexander's life shows that his actions were not compatible with believing in the equality of mankind. I highly recommend the following article, titled Alexander the Great and the Unity of Mankind, which discusses in depth the various ideas of unity of mankind attributed to Alexander:
https://www.jstor.org/stable/pdf/4434588.pdf?seq=1#page_scan_tab_contents