That is according to the club captain Mark Noble.
Pellegrini took over in the summer, but saw his side struggle in the first few weeks of the season.
Now they are up to 13th in the league, nine points clear of the drop zone.
"Obviously it takes time," Noble told Sky Sports.
"It takes time. The manager came in and we had loads of new players and new staff, he completely changed the way we played and defended.
"That's not easy changing all that overnight. We're far from the finished article, but we're slowly moving in the right direction.
"We work on the way the manager wants to play every day. It's definitely going to take a season for sure.