Pedersen is currently preparing with his country for Saturday evening's friendly international with England in Oslo.
It is a welcome distraction after events at Ewood Park but Rovers' demise is not far from his thoughts after spending eight years with them in the top flight.
Pedersen said: "It was a tough season because we ended up in a position we didn't want in being relegated.
"You don't feel good about it and feel sad. It is good to come away a little bit from it and be with the national team and think about something else. But it is not the best feeling
"The Premier League is fantastic to be involved in and is the best and biggest in the world."
Pedersen added: "Blackburn should be in the Premier League. It is tough to be in the Championship, it is not easy. It is a longer season with more chances.
"Everyone wants to go straight back up. Newcastle gambled a bit and kept all their players.
"But, if you are going to go straight back up, you have to use your money to get players in and strengthen the squad."
Pedersen expects England's players to be keen to impress new head coach Roy Hodgson ahead of the Euro 2012 finals.
He said: "Norway has a good record against England but they will have loads of players who want to show Roy they should play in the Euros.
"They want to show everything they can because everyone wants to be in the starting line-up in the first game in Poland and Ukraine.
"England will be organised, like Roy's teams always are."
Pedersen is aware Norway will have to cut out the threat posed by new skipper Steven Gerrard and revitalised Liverpool striker Andy Carroll if Norway are to pull off a shock win.
He said: "Gerrard is one of the best players in Europe. You just saw how he carried Liverpool sometimes in big games.
"Carroll had a good end to the season and was exceptional when he came on as a sub against Chelsea in the FA Cup final.
"He is powerful and extremely good in the air. We will have to watch out for the crosses but, if we can keep the wide men quiet, we can get him under control."
Defender Brede Hangeland played under Hodgson when he was in charge of Fulham and believes he can make a favourable impression with England.
He said: "It will be interesting to see what impact he has had on the team in a few days training and we are expecting a tough game against a very good side preparing for the Euros.
"Roy Hodgson has a very clear philosophy of how he wants his team to play and it will be interesting to see how they have done in terms of that.
"I hope he will do well. It is probably one of the most challenging jobs in football and a lot of pressure comes with the job.
"But he has very good players and his style of play can work really well."