Former targets Lloyd Dyer, Mikkel Bischoff and Brett Ormerod have all gone elsewhere in recent days while Phil Mulryne decided to stay at Norwich until the end of the season.
Megson told BBC Sport: "This is the most difficult situation I've ever been in, in terms of bringing players in.
"I think if we went for them in the summer most would come, it's just the position we find ourselves in now."