This paper quantifies the particle confinement of pellet-fuelled plasmas as measured in the Mega Ampere Spherical Tokamak. The dataset is restricted mostly to neutral beam heated plasmas in H-mode and to shallow pellets launched from the high-field side. It is shown that the pellet deposition can be explained only by invoking the ∇B drift of the pellet ablatant. The pellet creates a zone with positive density gradient and increased temperature gradient. Simulations show that these changes could increase the level of micro-turbulence and thus enhance further the penetration of pellet-deposited particles towards the core. Post-pellet dynamics of the density profile is characterized by the pellet retention time τpel. It is shown that τpel correlates with the status of the edge transport barrier (L-mode or H-mode) and decreases rapidly for pellet deposition radius rpel approaching the plasma edge. For ELMy H-mode and pellet deposition radius of rpel ≈ 0.8a, the pellet retention time is about 20% of the energy confinement time. The fuelling requirement by the pellets for ITER and the Component Test Facility based on the spherical tokamak is discussed.