Pellegrino worked with Benitez when he was a defender at Valencia and Liverpool, while the Argentine was also given the opportunity to work alongside the Newcastle United boss during his time at Napoli.
The pair will lock horns when the Saints host the Magpies at St Mary's on Sunday afternoon, but Pellegrino has acknowledged his respect for his opposite number.
The 46-year-old told reporters: "I will always be grateful to Rafa because he's a good example for me both personally and professionally.
"First of all he was a really important team-mate because we were working together in Valencia as a player and after in Liverpool. He gave me the opportunity to work in professional football as an assistant (manager)."
Benitez has also spoken fondly of Pellegrino, although the Spaniard has admitted that Pellegrino may know 'everything about him' ahead of this weekend's game.