Saints have been beaten in their last three games, and lost their unbeaten home record this season on Wednesday when they went down 3-2 to Aston Villa.
It is the worst run they have endured since the arrival of boss Mauricio Pochettino earlier this year, and Pellegrini - who knows his counterpart well - is expecting a real battle at St Mary's.
The 60-year-old said of his fellow south American: "He is a very good manager and I think he is doing a great job with Southampton - he also did in Spain.
"I know him very well. I am sure we are playing against a strong team. I think playing against a team as good as Southampton, when they have lost the last three games, will be more difficult for us.
"I don't know what the reaction of Southampton will be. They are a young team, and they have a young manager. But he knows perfectly how he must manage this situation."
City's victory at West Brom in midweek was only their second win in seven away games in the Premier League.
Pellegrini insists City's away form had not been a cause for concern for him, however much media coverage it attracted.
"I think that before the West Brom game, we didn't have any problems psychologically about winning away," the Chilean said.
"Maybe you think there is a different reason, but I was absolutely sure it was just about the points - not tactical problems, and I am also sure the squad had the confidence.
"We were sure we were going to start winning. So then that (West Brom) was first, and now we must repeat it on Saturday."