At the 2009 World Championships in Rome, Pellegrini broke the world record again in the 400 m freestyle with a time of 3:59.15, winning the gold medal and in doing so becoming the first female swimmer to break the 4-minute barrier in the event; she won the gold medal also in the 200 m freestyle and she broke her own world record with a time of 1:52.98. At 2009 European Short Course Championships in Istanbul she broke the world record in the 200 m freestyle with a time of 1:51.17. At the 2010 European Championships in Budapest Pellegrini won the bronze medal in the 800 m freestyle, behind Lotte Friis and Ophélie-Cyrielle Etienne, and the gold medal in the 200 m freestyle with a time of 1:55.45; in the same year, she announced that she would be working with Laure Manadou's former coach, Philippe Lucas.