The Saints chief only took charge at St Mary's in the summer when he replaced Claude Puel in the dug-out, but the Argentinian has seen his position called into question as the side are without a win in their last nine Premier League outings.
The Saints head to Watford on Saturday lying outside the relegation zone on goal difference alone and Pellegrino is looking for the squad to pull together to try and haul the club away from danger.
"The pressure is part of the job for every single manager, the biggest risk is to work in football," he told reporters.
"We need results, results are everything, I am doing my best. We are not in a good moment but everyone in the squad is conscious that we need to do more."