The square, near Malaga's Rosasleda stadium, will be officially named at a ceremony on Thursday, the authority said in a brief statement on its Twitter feed.
Chilean Pellegrini, awarded a gold medal by the Costa del Sol city last month, remains hugely popular with the Malaga fans despite deciding to move on.
He led the club to the brink of the Champions League semi-finals last season and is expected to be named shortly as the new manager of English Premier League club Manchester City to replace sacked Italian Roberto Mancini.
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