A 2-0 defeat to Liverpool at the weekend has seen the Saints drop down into 18th place in the Premier League table with just a point between themselves and safety.
Next up is West Brom in the FA Cup but then it’s a trip to Turf Moor to face a Burnley side that have lost their way in recent weeks.
Pellegrino has admitted his side are in a tough situation but has backed his players to respond in their next league outing against the Clarets on February 24.
“We are in one situation, but we have to keep going, keep fighting,” Pellegrino told Sky Sports. “We understand the emotion of the fans, everything in the Premier League is tight and everything changes.
“I am convinced we have got good pace to try to win the next game.”
Uwe Rosler was sacked by Fleetwood following a 3-0 reverse at Doncaster which condemned Town to a seventh straight defeat in all competitions.
Cambridge interim head coach Joe Dunne was pleased with how his side adapted to beat Grimsby 3-1.