The two clubs meet on the south coast on Sunday afternoon, but Benitez and Pellegrino are no strangers to each other with the Magpies boss having coached the former defender during his time with Valencia and Liverpool.
Pellegrino has endured a relatively slow start at St Mary's, but Benitez has acknowledged that the Argentine may hold an advantage in the dugout this weekend.
The 57-year-old told reporters: "Mauricio Pellegrino was my player and was my assistant in Italy. He is already a good manager but he will be even better.
"He knows everything about me so he has an advantage. But then he was my player, so maybe I know all about him."
Newcastle currently sit two points clear of Southampton in the Premier League table.