The Chilean tactician was thrilled to have left Belgium with three points and a clean sheet, but stressed that they must take each game at a time in their bid to progress
Two stunning strikes from Eliseu either side of a Joaquin penalty were enough to secure a second Champions League win for the Liga outfit, who outclassed their Belgian opponents, and Pellegrini was thrilled at the level of performance from his charges.
"I am very happy," he told Canal+ after the game. "We have made a very complete game on both the offensive and defensive against a team that tied with AC Milan [on matchday 1], and on this pitch it is very difficult.
"We got good movement from the team but that's less important than the attitude to go out and seek victory in each game, no matter who plays.
"Before starting the Champions League I knew we had to go out and win games. The squad responded very well and we had clear chances to score more goals today."
Malaga sit top of their group having won their opening two matches without conceding a goal, and though Pellegrini was quick to recognise his side's strength at the back, he was keen to stress that they must not lose their focus as they prepare to face AC Milan.
"We're pretty aggressive in trying to avoid the danger of our area and this is reflected in our game," he added. "We're okay but we must try to win the next game to reach nine points and move forward."