Injury prevented the Portuguese superstar from adding to his 16-goal tally and in his absence the visitors were unable to convert the handful of chances they created, with a sensational late Joe Hart save to deny Pepe the closest either side came to a goal at the Etihad Stadium.
As an occasion, City's first semi-final appearance in the competition was a let-down, but by preventing Madrid from notching an away goal the tie's underdogs safeguarded their hopes of reaching the final ahead of next week's return leg at the Bernabeu.
"This season we have played very well away. Now we go to the Bernabeu with the same attitude as playing at home.
"Real Madrid must attack a little bit more. You cannot take too much from the first leg. We can see from the second leg who will go through."
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Pellegrini, though, will be without David Silva for the second leg after he was forced off by a hamstring injury, while his Madrid counterpart Zinedine Zidane was left sweating on the fitness of Ronaldo and Karim Benzema, who went off at half-time.
"We had the ball more in the second half, had a couple of chances. We're a little bit disappointed, because we possibly deserved more.
"Before this game it was 50-50. I think it's still the same, 50-50."
City's semi-final arrival was an event seven and a half years in the making for the club's Emirati owners and there was a carefully stage-managed attempt to generate an atmosphere prior to kick-off, with fans given blue and silver foil flags and a flurry of streamers greeting the teams.
But with neither side able to create any chances, the most notable act of the first half was the departure of Silva after he injured himself in a sliding challenge on Gareth Bale that earned him a booking, which saw 19-year-old Nigerian forward Kelechi Iheanacho join the fray.
Benzema, a pre-match doubt with a knee problem, was replaced at half-time by Jese and despite the touchline exhortations of Zidane, who split his trousers for the second Champions League match running, his side could not make the breakthrough.
And when they conspired to beat Hart, Jese looping a header towards goal from Dani Carvajal's right-wing cross, the crossbar came to the England international's rescue.
City started the second half with a left-foot sighter from Sergio Aguero that whistled over the bar, but they did not threaten again until a stoppage-time Kevin De Bruyne free-kick that Keylor Navas tipped over.
In the minutes prior to that, the visitors had started to knock on the door.
First, he stuck out his left boot to deflect away a downward header from Casemiro and moments later a starfish-style block prevented Pepe from snatching a late winner from point-blank range.