Born in Santiago, to Italian parents, Pellegrini attended the Pontifical Catholic University of Chile in Santiago, where he graduated in civil engineering in 1979. He started his formative years as a footballer in the youth divisions of Audax Italiano. Then he went to Club Universidad de Chile where he would play professionally for them as a defender. He spent his entire playing career with the club, making a total of 451 appearances and scoring seven goals in the Chilean Division 1, including one goal against Colo-Colo, Universidad de Chile's biggest rival.