City are fifth in the Premier League table, despite suffering defeats to Cardiff City and Aston Villa, but Milner believes that it will take time before they adapt to Pellegrini's style of play.
The 27-year-old told the Manchester Evening News: "We are still adjusting to a number of things. There's a higher tempo at training under Manuel and we do a lot more small-sided games than we used to so it's very different.
"Every manager has their own style and way of working but I'm enjoying it. It's intense but hopefully the fruits of all the hard work that we're putting in will show out on the pitch.
"The one thing that you can guarantee is that we will create a lot of chances and as we get a better understanding of how each other plays, I think we'll get better and better as a team. We have so much talent going forward and I don't think that we'll be far away as the season progresses."
Milner has made nine appearances for City this season.