The 33-year-old moved to Sassuolo last year and featured regularly to help the club stay in the top flight, courtesy of a 17th-placed finish.
However, the former Siena man suffered a collision in training on Monday and it has now been confirmed that he fractured the tibia in his left leg.
Pegolo underwent surgery on the injury a day later and will have a further check-up in 40 days' time.
While the club have not set an initial date for his return, Pegolo appears set to face a lengthy lay-off.
Ciro Polito or Alberto Pomini are the other two senior goalkeepers on the books of Sassuolo, who start the new campaign at home to Cagliari on August 31.