The North-West outfit are currently third in the table, four points adrift of leaders Liverpool with two games in hand.
Pellegrini believes that the Saints will provide a "tough" test for his side as they can play without pressure.
"They are a very good team," Pellegrini said in Friday's press conference. "They are playing without pressure, they are in a comfortable situation in the table.
"They cannot arrive in Europe, they cannot be relegated, they have very good players and a very good manager. We are absolutely sure we are going to have a tough game on Saturday."
Southampton are eighth in the standings with six games left to play in their campaign.