There have been suggestions that Malaga will be preoccupied with their upcoming Champions League tie against AC Milan on Wednesday, when the Andalusian side can confirm their place in the last 16 of the Champions League with a win.
However, Pellegrini told the club's website: "We are always thinking of Valladolid, which is the most important game for us.
"There is nothing that can distract us. We have already had various commitments inserted into our league programme with Anderlecht, Zenit and Panathinaikos and we have always thought about the league, the squad know how to do so.
"We are on the right path in the Champions League and we only have to qualify. We could lose points and still qualify, but the points in the league you can't recover. The squad is conscious of this."
Malaga are currently in third place in La Liga.