However, his three-man defence failed to prevent a 2-0 League Cup loss to second tier Wolverhampton Wanderers and Pellegrino felt the success of the system depended on the players.
"I'm not sure that would improve us or that we'd score more goals with three centre-backs," Pellegrino told British media.
"That formation is something I have liked to do with past teams. But it's not just dependent on the feeling of the manager, it depends how the players are. In some games I will try this formation," he added.
Southampton have scored only four goals from six Premier League games this season and Pellegrino felt quality at the other end of the pitch mattered more than a change in formation.
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"Being better in the final third, it's not about more strikers, wingers or pushing the full-backs higher - it's just about quality in the final third," he said.
Southampton have eight points from six games and are unbeaten in four games away from home in the Premier League. Stoke have won only three of their last 15 home games against the south coast club.
(Reporting by Shrivathsa Sridhar in Bengaluru; Editing by Keith Weir)
