By ESPNSTAR.com staff
Levante picked up all three points courtesy of a stunning strike from Obafemi Martins in the 22nd minute, who latched onto Gustavo Munua's clearance before smashing a left-footed effort past a hapless Vicente Guaita.
However, Los Che created their fair share of chances in the second half, with Jonathan Viera and Fernando Gago both guilty of wastefulness, before Roberto Soldado sent a header from a good position straight at Munua with 11 minutes to go.
Speaking after the game, Pellegrino admitted his side had no one but themselves to blame after falling to their third defeat of the campaign.
"I think the first half belonged to us, but we did not convert our chances and they took advantage of theirs," he said after the game.
"After the goal, the game was played as Levante wanted it and we made mistakes. My team failed to break through the difficulties encountered.
"What happened is that we made a mistake as we had in the [2-0 loss to] Mallorca and it cost us dearly."
Valencia are now 14th in La Liga after picking up just eight points in their opening seven games of the new season.