City begin their fourth trophy challenge of the season as they travel to the Skybet Championship side in the third round of the FA Cup.
They are well placed in all the others, being second in the Barclays Premier League, through to the last 16 of the Champions League and into the semi-finals of the Capital One Cup.
Pellegrini wants to add the FA Cup to his list of targets but after four games in 12 days over Christmas, and a League Cup date with West Ham next Wednesday, he must utilise his squad.
He said: "We are going to make changes because we are playing too often in the last (few) weeks.
"We are going to try to have a good squad and to win the first game in our FA Cup (campaign) because for our team it is an important cup.
"I said from the beginning of the season if we are going to play in every competition we must play with exactly the same importance.
"The FA Cup is a very traditional competition here in England and in every country of Europe the cup is always an important competition.
"I just told the players it an important test for us, not only for the team but for individual performances.
"Some players will have the chance to play now in the FA Cup.
"As I said with the Capital One, both cups finish at Wembley and to finish at Wembley with a final is important for every team."
City boast a powerful squad and multiple changes for different competitions have barely affected their momentum in recent weeks.
Pellegrini made eight changes for last month's League Cup quarter-final at Championship high-flyers Leicester but a team containing Joe Hart, Vincent Kompany, Jesus Navas, David Silva and Edin Dzeko came through 3-1.
Pellegrini believes a similar test could await his side at Ewood Park.
He said: "All the teams playing at home are very difficult teams.
"Maybe Blackburn are not in the best moment in the Championship but, playing at home and playing against us, they will be very motivated and try to win.
"Maybe (it will be) a similar game to that we played against Leicester - a difficult game.
"If we think, 'We are in Premier League and they are in Championship - we are going to win', it is an important mistake.
"We must play with concentration, with intensity and with the tempo we need if we want to win."
Pellegrini is pleased with where his side stand at the midpoint of the season, but knows there are more important tests to come.
He said: "I am very happy because in all the competitions we are playing, we are in a good moment.
"It was a good first half of the season to prepare for what we must win, but we must win important things in the second (half) to be a successful season."
One player who could feature at Blackburn is defender Joleon Lescott, whose future has been the subject of speculation.
The 31-year-old, whose contract expires at the end of the season, has been linked with a move away from the Etihad Stadium during this month's transfer window.
Tottenham and Newcastle have been reported as potential destinations, possibly on loan, for the former Everton centre-back, who may need more regular first-team football to press his England World Cup claims.
Lescott has fallen down the pecking order at City over the last two seasons and he has made just 13 appearances this term.
But Pellegrini insists he still has an important role to play.
When asked if there was truth in suggestions Lescott could move this month, Pellegrini said: "Not for the moment. Joleon Lescott is a very important player for us.
"I understand he finishes his contract in June here.
"We will see what happens in the future but for the moment he is still here and he is a very useful player for our team."
With Martin Demichelis currently injured, City have little other cover at centre-back for first-choice pair Vincent Kompany and Matija Nastasic, who have both had injury problems this season.
When asked further if Lescott could be loaned out, Pellegrini said: "At this moment, we are not considering. We will see in the future, during the transfer window, what will happen."
Midfielder Jack Rodwell will miss the Blackburn game with a hamstring injury.