Pellegrino returned to Alavés on 26 June 2016, being named José Bordalás's successor as the club had just been promoted to the top flight. In his first season he qualified the team for the final of the Copa del Rey for the first time ever, after a 1–0 aggregate defeat of RC Celta de Vigo; in the decisive match, played in Madrid, they lost 3–1 to Barcelona.