Malaga have belied financial problems to stamp their mark on both the domestic league and Europe this season.
As well as reaching the last eight of the Champions League, Pellegrini's men are also in the hunt for a top-four finish in La Liga although UEFA have banned them from playing European football next season due to outstanding debts.
On Wednesday, they host Dortmund in the opening leg of their quarter-final tie and Pellegrini feels they can give the German champions a run for their money if they continue to play to their strengths.
"Of course there is a lot of satisfaction and happiness for what we have been doing in the Liga and the Champions League this season," he told reporters.
"Nobody gave us a chance at the start and yet the players have responded so well.
"We eliminated Porto and that represented a huge achievement for the side.
"The merits this season have been won out on the pitch.
"I am delighted to be playing Dortmund as creative as they are. The fans will see a great game.
"We will try to minimise their strengths while trying to play to ours. You never know what the result in football will be, we can't know exactly what will happen.
"What I do know is that it is so important to get a good result to take into the away leg."
Dortmund will be no pushovers, however, and have yet to be beaten in the Champions League this season.
While Malaga edged past Porto 2-1 in the last round, Jurgen Klopp's men were convincing 5-2 aggregate winners over Shakhtar Donetsk.
On-loan Dortmund midfielder Nuri Sahin is familiar with their opponents as a result of his time with Real Madrid, and believes it is anyone's tie.
"I played against Malaga four times last season in the league and in the cup and they made it hard for us," he said.
"They lost some big names over the summer but they have still had an outstanding season in the Champions League.
"They have nothing to lose. They can play more freely in the quarter-finals and that could be a problem for us.
"We must not allow them to get the ball moving. That is very important, otherwise we'll see how good their football can be. We have to be focused from the first minute.
"I'm looking forward to it. In the quarter-finals there are no favourites. Our slight advantage perhaps is that we will play at home in the second leg."
Mats Hummels (ankle) and Sebastian Kehl (ribs) remain sidelined for the visitors, but Marcel Schmelzer and Jakob Blaszczykowski have travelled to Spain despite being injury doubts.
Schmelzer broke his nose in the 2-1 win over Stuttgart at the weekend but is hoping to play with a facemask, while Blaszczykowski has been troubled by a groin problem.
Malaga are without forward Eliseu because of a knee injury.