The 33-year-old moved to Sassuolo last year and featured regularly to help the club stay in the top flight, courtesy of a 17th-placed finish.
However, the former Siena man suffered a collision in training on Monday and it has now been confirmed that he fractured the tibia in his left leg.
Pegolo underwent surgery on the injury a day later and will have a further check-up in 40 days' time.
While the club have not set an initial date for his return, Pegolo appears set to face a lengthy layoff.
Ciro Polito or Alberto Pomini are the other two senior goalkeepers on the books of Sassuolo, who start the new campaign at home to Cagliari on August 31.
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'Andy Robertson has a decision to make as a player, where you either roll your sleeves up and give someone great competition or you accept decisions and say that your time is done.' Alan Shearer on the conundrum facing Arne Slot's Liverpool
