Pellegrini - in his second season in charge at Etihad Stadium - is facing an uncertain future in Manchester as City are set to end the 2014-15 campaign empty-handed.
City's Premier League title defence is hanging by a thread, with four wins from 10 matches leaving the club six points adrift of leaders Chelsea – who also have a game in hand.
The Manchester team have also crashed out of the UEFA Champions League and FA Cup as pressure mounts on Pellegrini but veteran midfielder Lampard - on loan from MLS outfit New York City - has thrown his support behind the 61-year-old old.
"I think Manuel is very calm. You can see his nature. He is very experienced and can handle all pressures," the 36-year-old said.
"He's got a good manner and I think it is very important as a top manager that you never look as if the pressure is getting to you and he certainly never gives us that vibe."
