Pellegrini's side hold a 12-point advantage over their city rivals and know a victory at Old Trafford will aid their quest for a second Premier League title in three years.
But the Chilean coach, whose first taste of the Manchester derby brought a thumping 4-1 win at the Etihad Stadium in September, has moved to play down the suggestion that the balance of power is shifting to the blue half of the city.
Pellegrini said: "I don't think we are favourites in any game. We are in a good moment but we are playing against a big team in their own stadium, so I don't think we are the favourites.
"Of course we always expect to go and win every game but, I repeat, just because Manchester United have had a difficult season it does not mean we are going to win.
"We have to go there and play a very good game."
City sit six points behind Premier League leaders Chelsea with three games in hand, and Pellegrini will have captain Vincent Kompany back to bolster his defence at Old Trafford.
United go into the derby in good spirits on the back of successive wins over Olympiakos and West Ham, but Pellegrini also believes his side's torrid week against Wigan and Barcelona earlier this month could stand his own side in good stead.
"All of us want to stay in every competition but when you are eliminated one of the positive things - if you can find a positive thing - is that we are now just focusing on the Premier League," added Pellegrini.
"You don't have problems in that sense, mentally or physically. We are just trying to fight for the title.
"I know we must go game by game and we just have to win on Tuesday and then at Arsenal on Saturday after that."
Watch Manchester United v Manchester City live on Sky Sports 1 and Sky £d from 7pm on tonight.