Benitez appointed Pellegrino as his assistant at both Liverpool and Inter Milan earlier in his career.
As such, the Newcastle boss feels his Saints counterpart knows his tactics better than anyone but Benitez says he also has an advantage ahead of their Premier League meeting.
Benitez said: "He is someone who has always been focused and worked hard. He likes football and likes to study and learn.
"He knows everything about me because he was my player and assistant. He has an advantage, but at the same time we know him really well too. It is a special situation.
"If you wanted to say something or change something, he would know already. Players don't analyse the game, but when you are a coach, you know tactics and how people prepare for a game.
"He will have an advantage, but we will have that advantage too."