On 22 May 2018, Premier League club West Ham United appointed Pellegrini as their new manager on a three-year deal contract. In his first game as West Ham manager, on 12 August, the team lost 4–0 away to Liverpool. His first win with the club came in an EFL Cup match against AFC Wimbledon on 28 August. In the Premier League, having presided over four defeats at the start of the 2018–19 season, Pellegrini oversaw his first win on 16 September with a 3–1 win over Everton. In January 2019, West Ham were knocked out of the FA Cup in the fourth round by Wimbledon losing 4-2. At the time Wimbledon were five points adrift at the bottom of League One and playing in the fourth round for the first time in the club’s history. West Ham finished in 10th position in the Premier League in Pellegrini's first season in charge; their first top-ten finish since 2016.