City produced one of their best performances of the season to beat Dynamo Kiev 3-1 in the first leg of their last-16 tie in the Ukrainian capital.
Goals from Sergio Aguero and David Silva put City in charge and Yaya Toure made victory certain after Vitaliy Buyalskiy had brought the hosts back into the game.
It was an impressive return to form by City and a result Pellegrini felt justified his decision to field a weakened team in Sunday's 5-1 loss at Chelsea, for which he was heavily criticised.
Pellegrini said: "I think in this profession you always get criticism when you don't win but for the manager it is important to take the right decision.
"Unfortunately we couldn't continue in the FA Cup but I think it was important for the way we had to play this game, with a lot of intensity."
The side Pellegrini selected at the Olimpiyskiy National Sports Complex certainly did him proud on this occasion with a performance which underlined the team's growing maturity in Europe this season.
Aguero put them ahead after 15 minutes, taking advantage of poor defending at a corner to lash home before Silva doubled the advantage from a Raheem Sterling cross before the break.
Dynamo, playing their first competitive match since December, stirred in the second half and had gone close before Buyalskiy levelled just before the hour
City had two penalty appeals rejected but they came under heavy pressure and it took a fine Joe Hart save to deny Buyalskiy an equaliser.
The visitors eventually weathered the storm and Toure put the result beyond doubt with a fine curling finish in the last minute soon after heading an easier chance wide.
Pellegrini said: "I am very happy, it is an important result, but it is not finished. I think the worst thing we can do is to think that because we won 3-1 away the game at home is finished.
"It is important to understand we are playing against a big team in Dynamo and it is important to have a good performance at home.
"But I think playing away and having a two-goal difference is a good result."
City can now look forward to Sunday's Capital One Cup final against Liverpool at Wembley in good heart.
Pellegrini said: "From tomorrow we are going to think about the Capital One Cup final because it is very important to win a trophy at this stage of the season."
Source: PA