The Andalusian club could hardly have had a better 2012 on the pitch, finishing a club-record fourth in the Primera Division last season to qualify for the Champions League, where in their debut campaign they have stormed through to the last 16 without losing a match.
And to cap an unforgettable calendar year, Malaga beat reigning Spanish champions Real Madrid 3-2 in their final match before the winter break to move to within two points of Jose Mourinho's third-placed side in La Liga.
It is no surprise, therefore, that Pellegrini wants to pick up where they left off when they go to bottom club Deportivo La Coruna this weekend.
He said: "We're hoping to kick off 2013 how we finished 2012.
"Tomorrow [Saturday] I hope we can return to the league with the same intensity and performance as we did at the end of last year, and then we get through to the next stage of the Copa del Rey. We've got some very important matches this month."
Malaga will be expected to make it five wins in six league matches when they travel to struggling Depor, but the arrival of a new coach at the Riazor this week has left Pellegrini wary of what his side might encounter on Saturday.
The Chilean said: "Deportivo are in a bit of a difficult situation, but we can be sure that they'll be giving it 100 per cent tomorrow [Saturday] to try and get three very much-needed points. We'll have to be at the top of our game if we want to secure a win.
"(New Depor coach) Domingos Paciencia had a few good seasons in Portugal, but he's not had long enough to really put his stamp on Deportivo.
"I think it's more likely that we'll face a very motivated opponent, determined to keep the three points at home, rather than focusing on a specific style of play."
Former Braga and Sporting Lisbon boss Domingos, who replaced the sacked Jose Luis Oltra earlier this week, is well aware he faces a baptism of fire for his first match in the hotseat.
He said: "Malaga are a high-quality team, who are playing in the Champions League. They have players such as Isco and Joaquin, very good players who can influence a game.
"But at this moment in time I'm more concerned about what Depor can do. To win we have to be very focused and rigorous in every aspect. We have to do a lot in this game to win."