The 26-year-old, who has not played for the Premier League club since an ankle injury in January, had been forced to train on his own after seeking to leave following interest from Liverpool,Chelsea and Manchester City.
“Now he is training with the team again,” said Pellegrino.
“How long before we see him in a first-team match? It depends on the player.
“Now everything is normal. I think, obviously, Virgil is coming back from a long period of time and he needs to train and to play games to settle back again, but it’s good news for us,” he added.
He also welcomed a Premier League decision on Thursday to close the transfer window in future before the start of the season..
“We now focus on the competition. After three games, talking about movement and players leaving makes people anxious,” said Pellegrino. “For me it’s good news for everybody.”
Southampton, who are majority owned by Chinese businessman Jisheng Gao after he completed a takeover in August, have lost a large number of players to their domestic rivals in the past few seasons.
They play Watford at St Mary’s on Saturday, with both sides on two draws and a win so far this season.