In 1989 he began his NBA coaching career as an assistant coach for the San Antonio Spurs under Larry Brown. It was in San Antonio that Gentry met his future/current wife, Suzanne Harris. They have two children, Ryan and Jack.
After two seasons in San Antonio, Gentry left to become an assistant for the Los Angeles Clippers beginning in the 1990–91 season. For the 1991 season Gentry joined Kevin Loughery's staff as an assistant coach for the Miami Heat, where he coached for three seasons. He then moved to Detroit following the 1994–95 season where he served as an assistant for two and a half seasons before being named head coach late in the 1997–98 season.
Gentry returned to San Antonio as head assistant coach following the 1999–2000 season, where he was reunited with former co-assistants Gregg Popovich (the Spurs head coach and vice president of basketball operations) and R.C. Buford (the Spurs General Manager). But that assignment was brief, as Gentry accepted the head coaching position for the Los Angeles Clippers weeks after taking the San Antonio job. He did a solid job with the Clippers his first two years, leading them to 31 wins and 39 wins respectively in those two seasons. Those seasons were marked by the solid play of youngsters, such as Darius Miles, Elton Brand and Lamar Odom. In Gentry's third season, however, the team regressed (despite the addition of Andre Miller), and Gentry was fired in February 2003.
Gentry later became an assistant coach for the Phoenix Suns for six years, serving under head coaches Mike D'Antoni and Terry Porter. When Porter was fired in his first season as head coach, Alvin Gentry took over on an interim basis. He was named Suns' head coach for the 2009-2010 season. Gentry's record in his first year as head coach during the 2009-2010 season was 54 wins, a career high, against 28 losses. The Suns advanced to the Western Conference Finals and lost to the Lakers in six games. He became the fifth head coach in franchise history to lead his team to a Western Conference Finals berth in his first full season. Gentry figured out how to blend the two styles of D'Antoni and Porter. Comparing his coaching to D’Antoni, Gentry said "We are not seven seconds or less. We’re 12 seconds or under. We don’t take a lot of really quick shots. We don’t play with that breakneck pace. We play with a rhythm." Spurs head coach Gregg Popovich remarked "One thing about Phoenix is they are better defensively than in the past. They’re much more active, much more committed, they’ve taken responsibility to a much more significant degree than ever before."
On January 18, 2013, Gentry mutually parted ways with the Phoenix Suns. In July 2013, he returned to the Clippers organization, taking the title of associate head coach, making him Doc Rivers' lead assistant.
After one season with the Clippers, Gentry signed a three-year contract as associate head coach for the Golden State Warriors, working under new head coach Steve Kerr.
On May 18, 2015, the New Orleans Pelicans were granted permission by the Warriors to interview Gentry for their head coaching vacancy. He signed with the Pelicans on May 30, prior to the start of the 2015 NBA Finals, but was to remain with Golden State until the series was completed. The Warriors won the NBA Championship after they defeated the Cleveland Cavaliers in six games to give Gentry his first NBA championship.