Pellegrini then altered the system for the second leg to 4-2-3-1 -
as goals from Isco and Roque Santa Cruz
gave Malaga a 2-0 win on the night, and a 2-1 aggregate victory to secure their spot in the quarter-finals.
The new City boss insisted that neither he nor the club had prioritised winning the Premier League over the Champions League.
The 2011-12 league champions finished 11 points behind rivals Manchester United in the race for the title, and failed to progress past the group stages in the Champions League.
Pellegrini chose City over other jobs
"We don't prioritise one more than the other," added Pellegrini. "Man City need to improve on how they've performed in the Champions League, while the Premier League is very important."
The manager also said that the battle for Premier League honours next season was not simply between the Manchester sides.
"We have United, Chelsea, Tottenham - five or six teams who are trying to win the league. We will try to repeat what we achieved two seasons ago."
Fernandinho, brought in before Pellegrini was officially installed as manager, said he hoped to build a good bond with the Chilean.
"I spent eight years with the same manager [Mircea Lucescu at Shakhtar Donetsk] and the relationship was great," said the Brazilian through a translator.
"I hope I can build a great relationship with Pellegrini."
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