Pellegrini now has a first trophy firmly in his sights after City eased into the Capital One Cup semi-finals with a comfortable 3-1 win at Leicester.
The City boss made eight changes for the tie but the team he fielded was still a formidable one and they had little difficulty taking their goal tally for the season to 75.
The performance may have lacked the fluency of last weekend's 6-3 thrashing of Arsenal but it still provided evidence of how the whole squad have adapted to Pellegrini's attacking philosophy.
The Chilean said: "It is what we try to do. I said some months ago, when I arrived here that I liked my teams to play in an attacking way, to try to score goals everywhere and the most amount we can.
"It is important to continue that way and it is important to continue improving in defending and the way the team is playing.
"I don't know if we are intimidating other teams or not, but it is about trust for our team and we know in every game that we normally score goals. That is very good for the confidence."
The one baffling aspect of City's season to date is their poor away form in the Barclays Premier League.
While they have won all eight at home, scoring 35 goals in the process, they have lost four on their travels.
Yet after following up last week's memorable win at Bayern Munich and hammering of Arsenal with their League Cup canter, it is clear they have momentum ahead of a trip to Fulham on Saturday.
Pellegrini wants to maintain that, not just for the Christmas period but for the rest of the season.
He said: "We must finish December first, we have three more important games in the Premier League, but we are just halfway through the season.
"It is not just this period. We have four or five more important months. We must continue in the same way."
City's side at the King Power Stadium may have lacked the likes of Sergio Aguero, Yaya Toure and Fernandinho but still boasted Joe Hart, Vincent Kompany, David Silva and Jesus Navas.
Another senior man, Edin Dzeko, struck two of the goals after Aleksandar Kolarov had opened the scoring with a fine free-kick in the eighth minute.
City had a number of other chances but found Leicester goalkeeper Kasper Schmeichel in good form.
The Foxes did rally in the closing stages and gained a 77th-minute consolation through Lloyd Dyer's deflected strike.
City are now just a two-legged semi-final away from Wembley and Pellegrini - famously tasked with winning five trophies in the next five seasons - clearly wants the silverware.
He said: "It is always important to win every title and the final at Wembley is always a beautiful game.
"But we are not thinking about the final, we are thinking game from game.
"We must think about Fulham on Saturday and we will have to play a semi-final."
The only downside for City, fresh from losing top scorer Aguero to a calf problem that could sideline him for two months, was an injury to defender Pablo Zabaleta.
Zabaleta limped out early with a hamstring injury to join fellow right-back Micah Richards on the sidelines.
City are still waiting to learn the extent of the problem but he will definitely miss the Fulham game.
For Sky Bet Championship side Leicester, their attention now turns back to their promotion challenge.
The third-placed Foxes face leaders QPR at the weekend looking to end a three game winless run in the league.
Manager Nigel Pearson accepted his side were outplayed by City but felt they could have troubled the visitors more.
He said: "The fact they came with a strong side was an indicator they want to progress in this competition and that they felt they would need to put in a very good performance to go through.
"But we are disappointed we didn't give ourselves the best chance.
"If you are going to cause an upset against a side of Manchester City's quality you need to keep things a bit tighter.
"We were unable to do that, partly because we made mistakes but partly because of their quality."