City's last win at Liverpool came back in 2003 - they have lost seven and drawn five of their 12 visits in all competitions since.
With Chelsea playing in the League Cup final against Tottenham on Sunday, City have the chance to close the gap at the top to two points, but Pellegrini knows it will not be easy.
"Always Liverpool are a strong team with a difficult stadium, but I also think all those statistics - you must change it," he said.
"This year we won at Stoke, and in the last six years we never did that."
Last season, City fought back from 2-0 down to pull level, only for Philippe Coutinho to win it for Liverpool, a result which looked to have tipped the title race in the Anfield club's favour before City ultimately pipped them by two points.
"It was a very special day because it was the day when we remembered what happened with their fans some years ago [the Hillsbrough disaster]. It was a very emotional day," Pellegrini said.
"It was a very close game. We couldn't win for different reasons but this year we go with the same mentality, to try to win and try to be an aggressive and attacking team from the beginning."
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