Los Che host Celta Vigo tomorrow [Saturday] stuck in the bottom four of La Liga and still looking for their first victory, although they have had a tough start to the campaign with away matches against Real Madrid and Barcelona.
Valencia's other game saw them draw 3-3 at home with Deportivo La Coruna where they surrendered a two-goal half-time lead.
Pellegrino told his club's website: "We have played against the champions and the best team of all time and they didn't cause us excessive problems. Against Deportivo the goals arrived form dead balls, but I don't agree that we lacked defensive consistency.
"It is obvious that in every game there is a momentary context, but the most important thing is that at the end of the season we will be where we deserve and, without a doubt, that will be high up the table."
Pellegrino does, though, have a few injury problems in midfield as Fernando Gago is still in Argentina after receiving a head injury during his country's World Cup qualifier against Peru in midweek, while David Albelda has been ruled out for a month and Ever Banega remains a long-term absentee.
Those absences will almost certainly mean a start for Dani Parejo in midfield and Jeremy Mathieu should also be fit to return from injury.
Celta, meanwhile, did get their first win of the campaign last time out against Osasuna and midfielder Enrique de Lucas is confident they can spring a surprise at the Mestalla.
He told Marca: "I really believe in our possibilities. If I didn't then we wouldn't go, we would save money on the charter because it costs a fair amount of money. Obviously we believe. In one game we can compete with anyone.
"They are a difficult team and have qualified for the Champions League for many years, but they know that on the day that means nothing.
"They have more internationals than us and that could count too because the matches earlier in the week could distract them."
On-loan Arsenal striker Park Ju-young could make his Celta debut as a substitute, but Paco Herrera is likely to stick with the same starting 11 that defeated Osasuna.