However, they crumbled after the break and lost 6-2 at Old Trafford.
“We had a great first half, then objectively I don't know what happened after the break. I tell the fans that we'll try in the second half to prove ourselves," Pellegrini told Sky Italia.
“We tried to prepare as if this was the game of a lifetime and we'll do the same in the second leg. We will fight until the final whistle.
“We left the locker room at half-time saying we had to keep fighting, that we had a great result. Other things then happened and it's difficult to talk about that now."