Carlos Compagnucci and Xavier Tamarit have been appointed to Pellegrino's coaching staff.
The duo have followed Saints' new manager from his former club, Alavés, meaning Pellegrino's staff has been finalised ahead of the start of the 2017/18 season.
Compagnucci, 48, from Argentina, becomes Assistant Manager to Pellegrino, with Tamarit, 35, from Spain, taking on the role of Assistant First Team Coach.
Additionally, Eric Black, who joined the club last summer, remains a key member of the set-up, as Senior First Team Coach.
Pellegrino's backroom staff is completed by Dave Watson, the club's Head of Goalkeeping, and Head of Sports Science/First Team Strength & Conditioning Coach Alek Gross.