Megson struggled to establish himself in the Everton line-up, and after two years at Goodison, he moved to Sheffield Wednesday, where his father had once played, for a fee of £130,000.
He was an important member of the Norwich side that finished third in the inaugural season of the Premier League and played in the UEFA Cup for the first time as a result.
In the summer, he also left Norwich and finished his playing career with short spells at lower division sides Lincoln City and Shrewsbury Town.
At Bloomfield Road, he was assisted by the former Manchester United midfielder Mike Phelan, but the partnership failed to bring a Division Two playoff place to the Seasiders, and Megson left at the end of the season.
[4] After a slow start to the 1999–2000 season results gradually improved and the team went on a ten match unbeaten run to haul them into the play-offs.
However unfortunately for Megson by November the long-awaited takeover bid was accepted in the form of a group of Icelandic businessmen headed by Gunnar Gíslason.
[4] Megson took over as manager of First Division West Bromwich Albion in March 2000, just days before the transfer deadline at the end of the 1999–2000 season.
In his first month in charge, Megson received a 28-day touchline ban following his comments to referee Graham Poll after Albion's 2–0 defeat to Portsmouth.
This achievement earned Megson the Nationwide Division One Manager of the Year award,[7] as well as the medieval title Lord of the Manor of West Bromwich.
The board elected Jeremy Peace as Thompson's successor, and in July 2002 Megson signed a new three-year contract with Albion.
On 10 January 2005, Megson was appointed to succeed Joe Kinnear as manager of struggling Nottingham Forest,[12] but was unable to save them from slipping into the third tier of English football for the first time in more than half a century.
[18] This second approach was also rejected by Milan Mandarić,[19] but Megson was eventually given permission to speak to Bolton and he left Leicester on 24 October 2007, just 41 days and nine EFL Championship games after his appointment.
[21] He accepted that he was not the number one choice for the job,[22] after Bolton had already had approaches for Steve Bruce and Chris Coleman rejected,[17] and Graeme Souness had also ruled himself out.
[23] Bolton had made a poor start to the 2007–08 season under Sammy Lee, and when Megson took over they were bottom of the Premier League table with only 5 points from 10 games.
In February 2008 however they beat Atlético Madrid (who at the time were lying fourth in La Liga) 1–0 on aggregate, winning 1–0 at home and drawing 0–0 away, to reach the last 16 of the UEFA Cup for the first time in the club's history before proceeding to play the reserve team in Lisbon in the Last 16 with the tie tied at 1–1, Bolton lost the away leg 1–0.
Their League form remained poor, and a 4–0 defeat at Aston Villa on 5 April left them in 18th place, two points adrift of safety.
But they proceeded to take 11 points from their last five games (including a 1–1 draw at Chelsea on the final day of the season) to secure survival in the Premier League – the first time Megson had achieved this as a manager.
[24] Heading into the 2008–09 season, he brought in players such as Johan Elmander for a club record £8.2m, Fabrice Muamba from Birmingham City for £5m, Mustapha Riga from Levante, Danny Shittu for £2m and Ebi Smolarek on a season-long loan from Racing Santander with a view to a permanent deal.
This caused increasing pressure on Megson but he was given time by Chairman Phil Gartside and managed to improve results, leading Bolton to a high of eighth in the league.
During the summer of 2009 Megson added to the Trotters' squad with the additions of Portsmouth midfielder Sean Davis on a free transfer, Hull City's Welsh right-back Sam Ricketts, Aston Villa's England international defender Zat Knight for £4m, veteran left-back Paul Robinson on loan from West Brom and the South Korean international Lee Chung-Yong.
Just before the transfer window closed he added the Croatian international Ivan Klasnić from FC Nantes on a season long loan.
"[27] It was later confirmed that as the club and their former manager could not agree a compensation deal Megson would be paid out the remainder of his rolling contract on a weekly basis, effectively putting him on a year's garden leave.
[29] On 4 February 2011, Megson was appointed manager of his former club, Sheffield Wednesday, replacing Alan Irvine who had been relieved of his post the previous day.