Betis took the lead through Giovani Lo Celso, but were stunned by two goals early in the second-half to lose 2-1.
Afterwards, Pellegrini insists they went into the tie with the right attitude.
Assessment of the match:
"It was a very unexpected defeat because we came with all the enthusiasm, desire, intention, but we played a bad game. We started to lose balls, we didn't have any chances... They had been creating a lot of danger before our goal. The team always wants to, but when it can't, it becomes impotent and begins to fade away on the pitch. We have to find a solution soon, we have to get out of this footballing rut as soon as possible because there are some very complicated matches coming up."
What is the solution?
"We have to separate the competitions. There are two games left and we are still in a position to qualify. We are a team that has not been up to par in any aspect since the last FIFA break. We cannot find the goal and we are conceding a lot at the back, we have to overcome this important footballing slump."
Lo Celso's game:
"He was trying to play his football a little further back and although he scored the goal, we had few chances. He has to get back into rhythm after the time he was out of the game. He tried, he tried to do things well, he scored a goal which is always important. He will recover his best form and we will not be able to have him in the next Conference game."
Is the solution in the youth system?
"The solution must be found on the pitch with higher performances. Today Mateo, Jesús, Assane played... Several names from the youth system because we have many injured. We are lacking confidence. We create few chances, it seems like the team is not running, but the team is running. We started after this last FIFA break with two unexpected defeats and a disappointing image. We must find a solution."
Diagnosis?
"We always tried and wanted to get the three points. We never thought we were coming to play against an easy team. We did hope to get points here, it was important for qualification, but we couldn't because our level of play didn't allow us to. We have a lot of forwards and not enough midfielders. We're all going to try to find a solution and hopefully find it as soon as possible."
Is the team obsessed with performance in Europe?
"I'm not worried that it's becoming an obsession. I'm worried that the team hasn't found the footballing side that we normally try to create and that hasn't been seen in these last two games. There are still six points left in Europe, hopefully we can qualify. Before that, there's Real Sociedad, the Copa del Rey, Barcelona... Very important games and we have to find a solution in terms of training and performances."