For simplicity, denote by $f$ the minimal polynomial of $\alpha$ over $K$.
Note that your statement is equivalent to that the set of all roots of $f$ is exactly the set $\{\sigma(\alpha):\sigma\in\text{Aut}_K(L)\}$.
First, for any $\sigma\in\text{Aut}_K(L)$,
we have $f(\sigma(\alpha))=\sigma(f(\alpha))=0$ because $\sigma$ fixes $K$.
Conversely,
let $\beta$ be a root of $f$ in an algebraic closure of $K$ containing $L$.
Since $\alpha$ and $\beta$ are conjugates,
there is an isomorphism $\varphi:L=K(\alpha)\to K(\beta)$ fixing $K$.
This shows that $K(\beta)\cong L$.
Now, since any extension between finite fields is a normal extension,
the fact that $\alpha\in L$ implies that $\beta\in L$,
so we have $K(\beta)\le L$.
Since $K(\beta)$ and $L$ are both finite-dimensional vector spaces,
we then have $K(\beta)=L$.
We have now shown that $\varphi$ is in fact an automorphism of $L$ fixing $K$, and $\varphi(\alpha)=\beta$, as desired.