[8] Much-needed relief was found in an extra time win over Fulham in the Carling Cup[9] but an early season six pointer against bottom side Derby County only yielded a draw[10] and meant that Bolton finished September only one place above their opponents.

However, if Bolton were looking for an easy passage through the group stage they were disappointed as the draw put them up against former European Cup winners Bayern Munich and Red Star Belgrade as well as highly regarded Portuguese side Braga and Aris from Greece.

While chairman Phil Gartside said, "We feel Gary is the right man to take Bolton forward,"[17] some fans were decidedly unimpressed, stating that it was "possibly the most bizarre and clueless appointment this season".

[20] The month finished with Bolton being knocked out of the Carling Cup by Manchester City 1–0, the game being settled late on by a controversial penalty.

[23] Seemingly buoyed by this result Bolton finished the month unbeaten, drawing 0–0 with Middlesbrough,[24] beating Manchester United 1–0 (giving Megson his first win as manager and Bolton's first home win against their neighbours for thirty years[25]) and drawing with Aris in the UEFA Cup, Stelios Giannakopoulos scoring an injury-time equaliser against his countrymen.

[27] but this was quickly followed by another famous European night as Red Star Belgrade were beaten 1–0 as Bolton qualified for the last thirty-two of the UEFA Cup,[28] the occasion slightly marred when some fans were held in a hotel in the Serbian capital.

[43] Matt Taylor, who had scored against Bolton earlier in the season for his previous club Portsmouth, was also brought in,[44] as was Tamir Cohen from Maccabi Netanya.

[61] Megson suffered criticism as again he had put a weakened side out in a cup competition, but he vindicated his choice by stating that Premiership survival was more important.

[62] In the following game, Cristiano Ronaldo put two early goals into Bolton's net to continue Manchester United's push for the title.

[65] Bolton entered April knowing that they would probably have to go undefeated through to the end of the season to avoid relegation, but got off to the worst possible start with a 4–0 defeat to Aston Villa.

[66] However, two successive victories at home to West Ham[67] and away to Middlesbrough[68] took them out of the bottom three and left them in control of their own destiny, even after being outplayed but still drawing at Tottenham.

And win they did,[70] with goalscorer El Hadji Diouf doing a personal lap of honour at the end of the game after stating that he would be leaving the club, even though he was not out of contract.