Pellicer worked as a youth or assistant coach at several teams upon retiring. On 29 December 2016 he was appointed as assistant to Marcelo Romero at La Liga club Málaga CF, where he had previously played.[1]
On 23 October 2018, Pellicer was confirmed as manager of Deportivo Fabril, the reserve team of Deportivo de La Coruña who were second from bottom in their third-tier group.[2] He left the following 4 February, with them now dead last and 13 points from safety.[3]
Pellicer returned to Málaga on 1 July 2019, taking over their second team in the Tercera División.[4] Six months later, he was thrust into the first team following the ousting of Víctor Sánchez.[5] On his professional managerial debut on 14 January, his team won 1–0 at home to SD Ponferradina with a second-minute goal by Antoñín.[6]
On 18 May 2021, Pellicer announced his departure from Málaga at the end of the campaign, after keeping the club two consecutive seasons in the second level despite their economic problems.[7] On 15 December, he replaced sacked José Luis Oltra at the helm of fellow second tier side CF Fuenlabrada,[8] but was himself dismissed on 6 March 2022.[9]
After ten months without a club, Pellicer returned to Málaga on 25 January 2023, signing a contract until 2024; he replaced the sacked Pepe Mel.[10]