City's strike force has a new look to it after Alvaro Negredo and Stevan Jovetic were signed and Carlos Tevez followed Mario Balotelli out of the Etihad Stadium.
Speculation had suggested that Dzeko could also move elsewhere, but Pellegrini insists he has always had faith in the ability of the Bosnia-Herzegovina international.
Dzeko scored the only goal of the game as City beat Sunderland on Saturday to win the Asia Trophy, and was named Player of the Tournament after his spectacular strike.
Asked about the contribution of Dzeko in Hong Kong, Pellegrini told Sky Sports: "Not only in Hong Kong. I have a lot of trust in him.
"Everyone was talking before I arrived that we will bring in [Edinson] Cavani, [Robert] Lewandowski, all those players. But I always trusted in Edin Dzeko and he is now playing the way I want.
"I am sure he will continue improving."