The Andalusian side go into the match at La Rosaleda off the back of a humiliating 3-0 derby defeat at Real Betis last Sunday and a 1-0 loss in the first leg of their Champions League last 16-tie with Porto the week before.
Speaking at a press conference ahead of Saturday's visit of fellow high-flyers Atletico, Pellegrini said: "When you lose a match, it's tough to regain a positive spirit over the week.
"We're very conscious of the games we've lost, but football changes week after week. We're hoping to return to the same winning form we've shown for the majority of the season."
And despite the two poor results, the Chilean is still optimistic about his team's fortunes for the remainder of the campaign.
He said: "We're still in a top spot in the league, and we've got the Champions League second leg at home, in which we're just 1-0 down. I'm confident we can get back to the high level we were at before."
Fourth-placed Malaga will be without the suspended Ignacio Camacho, plus the injured Julio Baptista and Sergio Sanchez, in addition to Eliseu, who has been out of action since the beginning of February due to a knee injury.
Pellegrini acknowledged these injuries were a blow, but emphasised that his team would be able to cope with the absences.
He said: "As coach, any injured player makes your job a lot more difficult. The more players there are available to play, the easier it is for the coach to decide the line-up.
"We've got some important players injured at the moment, but we've come through this before at other times throughout the season."
Second-placed Atletico have some selection headaches of their own for the match as they seek to close the gap on leaders Barcelona back to nine points following the Catalan club's defeat to Real Madrid on Saturday.
Midfielder Tiago will definitely miss the game after breaking his arm during the Copa del Rey semi-final second leg against Sevilla on Wednesday, and will be out of action for at least a month.
Coach Diego Simeone lamented the injury to the player, saying: "Tiago is a hugely important player to our group. He's loved by all his team-mates, he's a hard worker and he waited patiently for his moment in the team in the first half of the season and he responded in the way I always thought he would, as he did last season."
Another player that will be missing for the Rojiblancos is Gabi, who is suspended.
Simeone revealed that Mario Suarez would definitely be in the team to face Malaga in place of Tiago, but was unsure whether Cristian Rodriguez or Koke would step in for Gabi.
However, he emphasised he had full confidence in all three players.
"Mario, who will play, can help us going forward, he's dynamic on the ball and and will make us more aggressive when we have the ball," he said.
"We'll have to decide tomorrow [Sunday] whether Koke or Rodriguez, plays. If it's Koke, his passing will help us a lot. If it's Rodriguez, he'll give us more aggression and strength when we're going from defence to attack."