There have been concerns the Castilla would be cut loose by Pellegrini following Alvaro Negredo's departure in the summer.
But this week, Pellegrini called up Hungary international striker Adam Szalai and young defender Juanan to train with his first team squad.
Juanan only arrived in the summer from Deportivo La Coruna and is impressing with the Castilla.
Meanwhile, 18 year-old Brazilian striker Rodrigo Moreno made his debut for the Castilla on the weekend: "My debut with the Castilla made me happy. It is important to go slowly, but always improving."