Bayern Munich coach Guardiola will replace Pellegrini as the man in charge at the Etihad Stadium at the end of the season.
Pellegrini recently suggested the announcement of Guardiola's imminent arrival was key in derailing City's push for the Premier League title, as Leicester City's 4-0 win over Swansea City on Sunday mathematically eliminated them from contention.
But the Chilean does not blame Guardiola for what has happened, nor does he bear a grudge against anyone else at City.
"I do not feel betrayed by Guardiola or the club, not at all," Pellegrini told El Pais. "I always knew that I had a contract for three years and that the club wanted to hire Guardiola at some point. Those three years have passed and now City will work with Pep.
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"I do not hold anything against Pep. He has behaved in the most correct way possible. I do not bear a grudge against him at all.
"I have a good relationship with [sporting director] Txiki Begiristain and [chief executive] Ferran Soriano as well. I have good memories of my time with City and am grateful for the opportunity they gave me. I always enjoyed working with them."
City will lock horns with Real Madrid in the Champions League semi-final first leg on Tuesday and Pellegrini is desperate to end his time in Manchester on a high.
"I am not thinking about what I am handing over to Guardiola. I am only thinking about winning the Champions League," he added.
"I am leaving behind a team that has won the Premier League title and scored the most goals in a season ever.
"We made it past the group stages of the Champions League for the first time, we made it past the quarter-finals. City did not win a single game in the Champions League the year before I got here, now we are in the semi-finals. We have made progress."