The Saints reach last season's League Cup final but fell at the first hurdle this year, losing 2-0 at home to Championship side Wolves.
Goals from captain Danny Batth and 20-year-old Donovan Wilson secured the result against the disappointing Saints, as boss Pellegrino acknowledged the result proved "a step backwards".
Urging his players to learn from the poor showing, Pellegrino maintained that his squad could benefit from fewer fixtures.
"The best news for us is maybe we'll have more time to prepare better for Premier League games, and try to learn from (the loss)," said a frustrated Pellegrino.
"It's a step backwards in our way, in our performance. The goals are accidents, Jack (Stephens) was really close to the player but he lost the challenge.
"And for the second goal everybody was in attack, one counter attack they were quicker than us. But we've got to try to learn from this situation."