Pellegrino will be taking charge of his first game for the Rossazzuri at the San Siro, following Rolando Maran's dismissal last weekend.
"We worked well this week and the team was at my disposal in a very professional way," he told reporters.
"There were a few tactical adjustments to be made, but everyone settled into their roles and we are ready to face Milan.
"We've got to approach this game differently to the others. If we think only of limiting Milan, then it'll be the wrong idea entirely. We face Milan aware of our own capabilities and qualities."
Catania are currently bottom of the Serie A table and are seven points away from safety.