Pellegrini, who managed Los Blancos for a single season in 2009/10, took over at the Andalusian side in the summer and has masterminded two wins out of two so far, with Madrid having only played once due to their participation in Europe.
Despite a scare around Martin Odegaard potentially contracting coronavirus, the club confirmed that the full squad and staff had tested negative, so from that perspective there is a full bill of health.
The back five is unlikely to change, with Thibaut Courtois in goal, with Dani Carvajal, Raphael Varane, Sergio Ramos and Ferland Mendy all featuring in front.
Ahead of them Toni Kroos will be retained but Zinedine Zidane might choose to rotate the remainder of the positions, after they struggled to break down La Real last weekend in a stalemate where they created just 0.77xG in total.
Luka Modric may well make way for Casemiro, who was benched for the last match, while Odegaard may well be given another opportunity in the No. 10 position following his low-key return last week.
Karim Benzema is a lock at CF, but either side of him will depend on the fitness of others. If Eden Hazard and Marco Asensio remain short, it will be Vinicius Jnr and Rodrygo in the wide positions again as Zidane looks for his team to find their rhythm.
But he knows with players lacking competitive matches, he lacks a full compliment of players to pick from and it is impacting their attacking options.