The laid-back Chilean officially launches his career in England as City host Newcastle in their opening match of the new Barclays Premier League season tonight.
The 59-year-old faces the daunting challenge of having to win multiple trophies, and in style, to meet the lofty expectations of the club's hierarchy.
Yet it is not a task that fazes him.
When asked if he was nervous, Pellegrini said: "No, absolutely not. I have a very good squad so I am not nervous."
City's chief executive Ferran Soriano stated boldly over the summer that the club want to win five trophies in the next five seasons.
Pellegrini's predecessor Roberto Mancini was sacked at the end of last season just a year after winning the Premier League.
But Pellegrini is determined to take City's demands in his stride and feels he has dealt with plenty of difficult situations in the past.
"I have worked in a lot of different leagues, very difficult leagues," he said.
"To manage River Plate in Argentina is not easy, to manage Real Madrid in Spain is not easy.
"I am very excited about my new job but I don't want to compare.
"They are all very good leagues and I try to always give my best."
Mancini's sacking was controversial but Pellegrini's calm confidence - coupled with the spending of almost £90million on four new players - has done much to win over fans.
Pellegrini is confident he has the squad at his disposal to start challenging for trophies immediately.
He said: "For me the Champions League is very, very important but so is the Premier League.
"I will try to play for the four - FA Cup, Capital One Cup, Champions League and Premier League, to try to win them all.
"We have a strong squad to try to win it all."
Pellegrini even joked that he has already set off on the winning trail after City won the Premier League-sanctioned tournament in Hong Kong last month.
He said: "We just need four more - we won the Asia Trophy!
"No, I think we will try to do our best in all the competitions and when we finish the year we will see what happens with how many trophies we have won."
Competition for places in the City squad has intensified and there has been speculation over the future of midfielder Gareth Barry, who is now in the final year of his contract.
Pellegrini said: "In the position of Gareth we have also (Jack) Rodwell, (Javi) Garcia, Fernandinho and Yaya Toure.
"I spoke with Gareth. He wants to stay here and he does not have any problems staying here to fight for his position like any other player in the squad.
"If he wants to go because has better options - it depends on what he wants to do."