City have scored the most goals in the Premier League this season, finding the net 14 times, and Dzeko believes that a large portion of their attacking prowess is down to Pellegrini's tactics.
"I've said it before; the manager is very important and for every player it's important to know the manager believes in him," Dzeko is quoted as saying in The Telegraph.
"Of course the people are expecting us to play like that and that's what we are trying to do with the new manager, to play aggressive, quick and attacking football. He gives us the confidence that everything can change.
"We showed that against a big club like Manchester United (in their 4-1 win) and why shouldn't we go forward with that and be more consistent with those games?"
City entertain European champions Bayern Munich in the Champions League this evening.