Pellegrino has appeared in episodes of The Beast, NYPD Blue, Without a Trace, Dexter, Grimm, Prison Break, CSI: Crime Scene Investigation, The Mentalist, and Lost. He has also played a minor role in the film The Number 23 where he played a prisoner who showed disgust at the thought he could be linked to someone who used the pseudonym "Top Secrets." He also had a part in the Americanized version of the UK supernatural drama Being Human as the leader of the Boston vampire group Bishop.
One of his most recent television roles was Dr. Jedikiah Price, on the The Tomorrow People, which was ultimately canceled. He is currently working on Quantico as Clayton Haas.