Assistant coaches Pellow and Rob Gibson have been in charge of the Chiefs for the opening two games in the competition, with this latest win coming on the back of a 42-15 success at London Welsh last week.
"It has been a positive two weeks for the club which will give us momentum going back into the Aviva Premiership next week and then the next batch of LV= Cup games, and that is really pleasing," Pellow said.
"The guys have got out what they put in over the past two weeks in terms of their training and their focus. It has been a real pleasure working with that group of players.
"The performance probably wasn't where we wanted it to be. We'd talked in the week about the things that we do well - our carries, our clear outs and being strong over the ball - but we went away from that in patches and the game got scrappy. It went away from us and the Ospreys were good at the breakdown.
"We showed in patches that when we got control of the ball that we could score, but we obviously didn't do that for the full 80 minutes. That's disappointing but we are pleased that we are top of our group.
"We will go into the next block of the LV= Cup really focused and competitive. If we can put in another good good performance against Northampton and Bath then we can really kick on into the next stages."
The Chiefs struggled in the first half but went into the break 17-10 ahead after tries from lock Will Carrick-Smith and full-back Myles Dorrian, with fly-half Henry Slade converting both to add to his opening penalty.
The Ospreys replied through a try from Morgan Allen which was converted by fly-half Sam Davies, who also added a penalty. Davies reduced the arrears early in the second half with another penalty but Slade replied with two of his own.
Ospreys head coach Steve Handy said: "There were more younger guys and more debutants (in the side) so I'm pleased with the effort.
"I think it is a real good learning curve and a real good development tool for these young guys.
"There were a couple of disappointments in the fact that we invited a lot of pressure onto ourselves, but all in all I'm really pleased having made a lot of changes from last week.
"I think that Exeter deserved their win."
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