Originally from Nus, Pellegrino made his World Cup debut in the 2009–10 season. He has achieved his best results in the sprint events and won the Sprint Cup in the 2015–16 season, becoming the first non-Scandinavian to win the Sprint World Cup. As of 30 November 2018 Pellegrino has won 12 individual World Cup victories, all of them sprints: he holds the record for most individual wins for an Italian in the Cross-Country World Cup. He won his first international medal in cross-country skiing at the 2015 World Championships in Falun, Sweden. Together with Dietmar Nöckler, Pellegrino won a bronze medal on Team sprint, classic. In 2017 he became World Champion after winning the sprint freestyle event during the 2017 World Championships in Lahti, Finland. This was the first gold medal for the Italian men at the Nordic Worlds since Renato Pasini and Cristian Zorzi won the team sprint in 2007. He was a part of the Italian team which won the nation's second consecutive medal on the team sprint event, this time a silver medal together with teammate Dietmar Nöckler.