It all started well for Sunderland.
Fabio Borini put the Black Cats 1 – 0 up after just nine minutes with a goal set up by Adam Johnson.
Manager Gus Poyet celebrated from the touchline, arms outstretched.
But, in the second half, two Manchester City goals in two minutes ended the dreams of bringing a major trophy back to Wearside for the first time in 40 years.
Yaya Toure scored at 54 minutes with a shot 30 yards from the goal into the top corner.
Two minutes later, Samir Nazri put Pellegrini’s men ahead.
And in the 89th minute, Jesus Navas sealed the win for the favourites.
Final score: Sunderland 1 – 3 Manchester City.
Sports Correspondent Simon O'Rourke was at Wembley with Sunderland fans for ITV News Tyne Tees.
Thousands of fans have travelled to Wembley. The Black Cats are the underdogs - but this is Sunderland, and anything could happen.
Cup Final fever has been sweeping across Sunderland as fans and the club head to Wembley hoping to achieve a historic victory once more.