On 30 June 2015, Pellegrini signed for fellow Serie A side Sassuolo for a fee of €1.25 million. In terms of the transfer agreement, Roma retained a buy-back-clause which afforded the club the opportunity to re-purchase Pellegrini at a future stage. He made his debut for the club on 8 November 2015, starting in a 1–0 league win over Carpi, and scored his first goal the following month when he netted in a 3–0 win over Sampdoria. He ultimately made 20 appearances for the season, including one in the Coppa Italia, and scored three goals. During the 2016–17 season, Pellegrini became the youngest player to have a hand in 10 goals in a single Serie A campaign, having registered six goals and four assists by 10 April 2017. He made 34 appearances across all competitions for the campaign, scoring eight goals registering seven assists, before re-signing for Roma at the end of the season.