The Chilean, drafted in to the Etihad Stadium to succeed Roberto Mancini over the summer, will take in his first competitive fixture on Monday when City kick their season off at home to Newcastle United - live on Monday Night Football on Sky Sports 1HD.
Pellegrini acknowledges that he is under pressure to deliver at a club where expectation has risen dramatically, but he has spent much of his career working under the brightest of spotlights and is looking forward to testing himself in English football.
When asked if he was nervous, Pellegrini said: "No, absolutely not. I have a very good squad so I am not nervous.
"I have worked in a lot of different leagues, very difficult leagues.
"To manage River Plate in Argentina is not easy, to manage Real Madrid in Spain is not easy.
"I am very excited about my new job but I don't want to compare. They are all very good leagues and I try to always give my best."
Pellegrini has spent over £90million putting his own stamp on the City squad and appreciates that considerable investment means he must now compete for major honours at home and abroad.
He said: "For me the Champions League is very, very important but so is the Premier League.
"I will try to play for the four - FA Cup, Capital One Cup, Champions League and Premier League, to try to win them all.
"We have a strong squad to try to win it all.
"I think we will try to do our best in all the competitions and when we finish the year we will see what happens with how many trophies we have won."
You can watch Manchester City v Newcastle live on Monday Night Football, Sky Sports 1HD, 7pm