A late controversial Manolo Gabbiadini strike cancelled out Ashley Barnes' opener for the Clarets as the Saints earned a draw at Turf Moor on Saturday.
Speaking after the game, Pellegrino claimed that the point earned against Burnley could be significant come the end of the season in their fight for survival, as quoted by the club's official website.
"I think in the way that we equalised we can be happy because it was really difficult, after conceding against this side who don't concede too much themselves," said the Saints boss.
"But, obviously, we have to analyse well, because we have to improve in different aspects – how can we play against those teams who will press and are really aggressive physically, and who try to put you under pressure all the time?
"We had a couple of chances to equalise and at the end we got this goal that allowed us to get one point. It's not the best, but in this moment one point can be the big difference at the end."
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The point however is important to the Saints boss as it lifted them to 16th in the league, but with only goal difference separating themselves and 18th placed Swansea City the fight for relegation is far from over.