Now in charge of Hebei China Fortune, the 63-year-old suffered embarrassing cup exits against Alcorcon and Lyon, while he also had the misfortune of registering the highest points tally for a losing Real side in LaLiga.
“The period at Real Madrid was the most painful of my career,” he told Tactical Football.
“The team wasn’t complete and I had some obvious problems to deal with.
“I left with a bitter taste in my mouth at not winning the title despite have a record points total.
“We did sign some big stars, but we had a lot of forwards and few midfielders and the players I wanted to keep were sold.
“In addition, Cristiano Ronaldo spent a good portion of the season injured.
“I’d have liked to have more time as many players arrived that year and sometimes it takes time for them to gel in the best possible way.”
Although he may harbour some bitterness about how his stint there ended, the Chilean had nothing but good things to say about the players he had at his disposal during his time in charge.
“It is easier than you would think to train those players,” he added.
“The Real Madrid squad at that time had great players like Cristiano Ronaldo, Kaka, Xabi [Alonso] and [Karim] Benzema.
“When the players with the biggest egos are the first to arrive for training and the last to leave, then everything is easier.”
Following that Real Madrid job, Pellegrini enjoyed some success with Malaga and with Manchester City, before making the move to China.