The Blues produced an excellent display in Kyiv to claim a 3-1 first-leg win, thanks to goals from Sergio Aguero, David Silva and Yaya Toure.
Though while the Chilean accepts the result was fully deserved, he has warned against complacency as City bid to reach the quarter-finals for the first time when the teams meet again in March.
"I'm very happy," he reflected. "It's a very good result. Of course, it's not finished - we have to play the second leg at home - but I think playing away and having a two-goal difference is a good result.
"We played very well - we created a lot of chances - and we pressed very well.
"Dynamo are a team who like to make a short build up. We recovered the ball well most of the time and because in the first half we pressed high, we created at least three more chances.
"Maybe at 2-1 there were some moments of doubt but finally, we recovered the ball and scored the third goal.
"In football, you never think all is finished but the third goal gives us more confidence for the second leg.
"It's important to improve every year in the Champions League. I said before the game we were unlucky to play Barcelona in the previous rounds of 16.
"Now against Dynamo, I hope we can reach one stage more. In the last eight, anything can happen."
When asked how pleased he was to be able to field a strong starting XI having suffered so many injury problems this season, he replied: "It's important.
"Unfortunately for us, we have just 13 players fit - we had four defenders and two young players on the bench.
"It was important to have key players back but it's also important to have a squad which allows you to make some changes.
"It is difficult to do so in this moment - especially in attack - but I hope in the next week, a couple of players will return."
The triumph in Ukraine also handed City the perfect boost ahead of Sunday's mouth-watering Capital One Cup final clash with Liverpool at Wembley.
With the Blues still alive in three competitions, Pellegrini asserted his side take each game as it comes.
"From tomorrow, we will think about the Capital One Cup final," he added. "It is very important to win a trophy.
"Then, when we finish the Capital One Cup, we must concentrate on the league. We have to fight for another 36 points."