The Chilean only took control at the Etihad Stadium over the summer, but is already believed to have reservations surrounding the talent of current first choice stopper Joe Hart.
The England international has endured a shaky start to the season, with a number of errors contributing to conceded goals.
As a result, Pellegrini is keen to give Hart greater competition for a starting berth by snapping up a genuine rival.
Caballero is believed to be his top target after enjoying a fruitful relationship with the Argentine at Malaga.
The 32-yearold was a key member of the La LIga side’s foray into the Champions League, and was often lauded for his all round ability.
A January bid is believed to be on Pellegrini’s agenda, and it is unlikely that Malaga will put up too much of a fight due to their financial worries.
City were linked with Caballero over the summer, but the South American revealed he had concerns regarding his chances of first-team action at the club.
Real Madrid superstar Iker Casillas is also on Pellegrini’s radar after dropping out of the first team at the Bernabeu.
Should Manuel Pellegrini stick by Joe Hart?
Get involved below!