Alcyone was a Thessalian princess, the daughter of King Aeolus of Aeolia, either by Enarete or Aegiale. She was the sister of Salmoneus, Athamas, Sisyphus, Cretheus, Perieres, Deioneus, Magnes, Calyce, Canace, Pisidice and Perimede. Later on, Alcyone became the queen of Trachis after marrying King Ceyx, who was the son of Eosphorus (often translated as Lucifer). The couple were very happy together in Trachis.

According to Pseudo-Apollodorus's account, this couple often sacrilegiously called each other "Zeus" and "Hera". This angered Zeus, so while Ceyx was at sea — in order to consult an oracle, according to Ovid — he killed Ceyx with a thunderbolt. Soon after, Morpheus, the god of dreams, disguised as Ceyx, appeared to Alcyone to tell her of her husband's fate. In her grief she threw herself into the sea. Out of compassion, the gods changed them both into "halcyon birds" (common kingfishers), named after her. Apollodorus says that Ceyx was turned into a gannet, and not a kingfisher.

Ovid and Hyginus both also recount the metamorphosis of the pair in and after Ceyx's loss in a terrible storm, though they both omit Ceyx and Alcyone calling each other "Zeus" and "Hera" (and Zeus's resulting anger) as a reason for it. On the contrary, it is mentioned that while still unaware of Ceyx's death in the shipwreck, Alcyone continued to pray at the altar of Hera for his safe return. Ovid also adds the detail of her seeing his body washed ashore before her attempted suicide. Pseudo-Probus, a scholiast on Virgil's Georgics, notes that Ovid followed Nicander's version of the tale, instead of Theodorus's, which starred another Alcyone.

Virgil in the Georgics also alludes to the myth — again without reference to Zeus's anger. It is possible that the earlier myth was a simpler version of the one by Nicander, in which a woman named Alcyone mourned her unnamed husband; Ceyx was probably added later, both because he was an important figure in mythology and poetry and because he had a wife named Alcyone (as evidenced by the Hesiodic poem Wedding of Ceyx, which was probably about a different Ceyx).

Alkyóne comes from alkyón (ἀλκυών), which refers to a sea-bird with a mournful song or to a kingfisher bird in particular. The meaning of the word is uncertain because alkyón is considered to be of pre-Greek, non-Indo-European origin. Folk etymology, however, related it to háls (ἅλς, "brine, sea, salt") and kyéo (κυέω, "I conceive"). Alkyóne was originally written with a smooth breathing mark, but this false etymology, beginning with a rough breathing mark (transliterated as the letter H), led to the common misspellings halkyón (ἁλκυών) and Halkyóne (Ἁλκυόνη), and thus to the name of one of the kingfisher genera in English, Halcyon. It is also speculated that Alkyóne derives from alké (ἀλκή, "prowess, battle, guard") and onéo (ὀνέω, from ὀνίνημι, "to help, to please").

Kéyx, as referring to a sea-bird, appears to be related to kaúax (καύαξ), a ravenous sea-bird (láros). These suggest that Kéyx may have been turned into either a sea mew or a tern.

Ovid and Hyginus both also make the metamorphosis the origin of the term "halcyon days," the days in winter when storms never occur. They state that these were originally the fourteen days each year — seven days on either side of the shortest day of the year — during which Alcyone, as a kingfisher, made her nest on the beach and laid her eggs, while her father Aeolus, the god of the winds, helped her do so safely by restraining the winds and thus calming the waves. The phrase has since come to refer to any peaceful time. Its proper meaning, however, is that of a lucky break, or a bright interval set in the midst of adversity — just as the days of calm and mild weather are set in the height of winter for the sake of the kingfishers' egg-laying according to the myth. Kingfishers, however, do not live by the sea, so Ovid's tale is not based on any actual observation of the species and in fact refers to a mythical bird only later identified with the kingfisher.

The expression alkuonídes hēmérai (ἀλκῠονίδες ἡμέραι) first occurs in Aristophanes' play The Birds (line 1594), then again in Aristotle, Philochorus, and Lucian. In Latin it occurs as alcyonides dies in Pliny the Elder, alcyonei diēs in Columella and Varro, alcyonia in Hyginus, and alcedonia in Plautus and Frontinus.

Various kinds of kingfishers are named after the couple, in reference to the metamorphosis myth. The genus Ceyx, within the river kingfishers family, is named after him; the tree-kingfisher family Halcyonidae is named after Alcyone, as is the genus Halcyon; and the belted kingfisher's Latin species name (Megaceryle alcyon) also references her name. The seagoing high-crested pterosaur species Alcione elainus of the Late Cretaceous is named for Alcyone.

Their story features in Geoffrey Chaucer's The Book of the Duchess, and is the basis for the opera Alcyone by the French composer Marin Marais and the cantata Alcyone by Maurice Ravel. Alcyone is also the title of the final, posthumously published (1899) poetry collection of Canada's nature poet Archibald Lampman, a set highlighting both his apocalyptic and utopian visions of the future. T. S. Eliot draws on the myth in part of his poem The Dry Salvages, where "on a halcyon day" the ragged rock in the restless waters "is merely a monument."