The Chilean is only thinking about getting a good result on Saturday, amid reports the Blancos coach could get the sack if his side were to lose at the weekend
The Portuguese has come under fire at the Santiago Bernabeu following their relatively disappointing performances so far this term, but Pellegrino is not thinking about what could happen to his opposite number if the Blancos lose Saturday's match.
The former Inter boss took Pellegrini's place at Madrid in the summer of 2010 after the latter got the sack, but he says he carries no grudge against Mourinho.
"I'm not going to be Mourinho's judge and jury," Pellegrini told Onda Cero.
"We won't approach this weekend's game with that in mind, neither will we concern ourselves with what might happen at Real Madrid.
"I am very grateful to all the players at Real Madrid because they knew I was on my way out as far back as October, but even so we had a great season."
Madrid finished second in La Liga behind Barcelona under Pellegrini.