check wp_login into a plugin

Well, you get user data in global $current_user variable only when a user is online or in other words, this is the data of currently logged user.

I think the problem is not with the hook or data, but with your insert code. It should be like this:

// You get two parameters, 2nd param is the user object
function crear_bd_empleados( $user_login, $user ) {
    global $wpdb;   
    $tabla_empleado = $wpdb->prefix.'myUser';       
    $current_user = $user;
    $usuario = $current_user->user_login;
        $alias = $current_user->display_name;
        $nombre = $current_user->user_firstname.$current_user->user_lastname;
        $correo = $current_user->user_email;

        $wpdb->insert( 
            $tabla_empleado, 
            array( 
                'usuario' => $usuario, 
                'alias' => $alias, 
                'nombre' => $nombre, 
                'correo' => $correo,                
            ),
            // You need to provide insert value types, %s = string in this case
            array('%s','%s','%s','%s')
        );     

}
// Register for wp_login with 2 params and priority = 10
add_action('wp_login', 'crear_bd_empleados', 10, 2);

As per the wiki: https://codex.wordpress.org/Plugin_API/Action_Reference/wp_login At wp_login hook, a user is logged in.

EDIT: wp_login sends two parameters, you can use 2nd parameter to get user data, no need to query again.