Saints go to Selhurst Park for Saturday's early kick-off and will come up against an Eagles side now managed by former England boss Hodgson following his appointment in the wake of Frank de Boer's sacking there this week.
Pellegrino says he will be preparing his side as normal for the game, though, and Hodgson's arrival will not alter his thinking too much, with the emphasis firmly on what his players can do.
He said in his press conference: "We know how he's played in the past, but when you have another group of players everything changes. Ninety per cent of it is thinking about us, our style and our model.
"We are thinking more about individual qualities more than Roy's qualities as a team. For me, Palace have a group of players in the last third who are really dangerous, but every single team in the Premier League has important players."
He added: "We have important players as well, to put them under pressure and to manage the game. I see this game as an opportunity to try to get better from the last performance.
"It will be a really tough game and they will try to put us under pressure but we have been working well this week. I see it as a chance to keep improving, to create more chances and arrive in the final third and convert."