Spanish giants Real, notorious for their high coaching turnover, have axed Rafael Benitez after just seven months in charge and installed Zinedine Zidane as his replacement.
Pellegrini is well aware of how unforgiving life at the Bernabeu can be after being sacked after just one season in 2010 despite accruing a club record points tally in the Primera Division.
There may again be speculation over Pellegrini's future at City, with Pep Guardiola persistently linked with his position, but after three years at the Etihad Stadium he feels he has been given much greater support.
The 62-year-old said of Real: "At least I finished the year! But I knew from the beginning I was not to continue for the next year
There were some important differences with the president.
"I am sorry about Rafa Benitez because I think he is a manager that deserves respect but it is not strange what has happened at Real Madrid in the last five or six years.
"Yes, (it is) absolutely different (at City)
It is another way to think about the role of the manager
A lot of things are different.
"That is why one team is changing manager every year, and at this team it is not the policy of the owners to change immediately when you don't win a title
Different projects for each club."
Pellegrini has warned Zidane that not only will managing the team be tough, but working in those conditions particular to Real will also be highly challenging.
He said: "Always to manage a big team is very difficult, Real Madrid is a very difficult team
But it is more difficult in the way they manage the club than the position of the manager."
Pellegrini's immediate concern is Wednesday's trip to Everton for the first leg of their Capital One Cup semi-final
It is the first of three clashes against the Toffees this month with a Barclays Premier League meeting next week and the cup second leg a fortnight after that.
Pellegrini, who oversaw League Cup success two years ago, said: "It is important when you are in a competition always to try and win it
We have won three previous games already and now we are in a semi-final
It is a double game of 180 minutes.
"I think that for the team, the club, for everyone, it is always important to win a title
It is very beautiful when you finish at Wembley, full of people, so it is very important for us to win."
Everton have earned plaudits for their attack this season but their defence has looked vulnerable, something underlined in their recent 4-3 loss to Stoke.
But Pellegrini said: "We are not going to change our style of play because Everton concede less or more goals
We normally try to play as an offensive team, to create options, to try to score the most amount of goals we can.
"We don't think it will be easy because Everton conceded some goals in the last game, because every game is different
We are going to try to continue our style and I hope we can score goals."
Source : PA