Rather than seeing the weekend's match at the Jose Zorilla as a distraction, the Chilean coach believes there is no better way to prepare for the match with the Portuguese champions than playing well against Valladolid and getting three points.
"We know that on Wednesday we are playing for the chance to compete with the best eight clubs in Europe, but the best way to try and achieve that is by putting in a great performance against Valladolid," Pellegrini told a press conference.
Malaga are winless in their last three matches in all competitions and while Pellegrini acknowledged his team were not on the best run of form, he was optimistic they can return to winning ways.
"We are all committed to beating Valladolid," he said.
"Our main objective is to win and to win you need to score goals. We know we have hit a rough patch of form but we are trying to find the best way to improve.
"At this stage in the season we are fourth in the league and are among the best 16 teams in Europe, now we're going to go all out to finish the season as high as possible in the league and go as far as we can in the Champions League."
Julio Baptista, Eliseu and Francisco Portillo will not travel to Valladolid due to injury, while centre-back Weligton and midfielder Jeremy Toulalan have been left out of the squad, possibly with a view to the match with Porto.
Ignacio Camacho returns to the side after missing the 0-0 draw with Atletico Madrid due to suspension, while 22-year-old right-back Francisco Jurado has been named in the squad and, if selected, will make his league debut for the club.
Valladolid coach Miroslav Djukic also believes the Andalusians will be fully focused on the match despite their Champions League commitments.
He told reporters: "I hope they are distracted but I don't think they will be because they are a team that do things properly. I'm sure they'll come here to give 100 per cent."
He added: "Their players work very well together, their full-backs get involved in the attack and they are very good with the ball, you have to be very aggressive if you want to beat them."
Centre-back Marc Valiente has been named in Djukic's squad after recovering from a fractured cheekbone, but Patrick Ebert, despite returning to training after two months out with a hamstring tear, has not been risked.