Nottingham Forest 1 Millwall 2
A Barry Hayles strike and a stunning effort by Alan Dunne made Megson's challenge at the helm of Forest harder than he had expected before his appointment.
Despite a late Kris Commons consolation Forest find themselves seven points adrift from safety and face a miraculous task to avoid relegation.
The hosts were pumped up for a positive start under the new management and it all looked one-way traffic in the opening minutes.
But totally against the run of play the visitors found themselves ahead after ten minutes.
Hayles swivelled in the Forest box to fire a low shot past Paul Gerrard from a Danny Dichio flick on to sting the animated Megson in the Forest dugout.
The home side squandered a number of chances after the opening setback, a Gareth Taylor header was cleared of the line by Jody Morris.
Four minutes later, out-of-form striker David Johnson fired a shot high and wide from six yards after Graham Stack had parried a Commons 30-yarder.
The Lions were two goals in front due to a breathtaking effort by Dunne, who chipped Gerrard from more than 25 yards after a good run by Hayles eight minutes before the break.
It was the same story after the interval as Forest were unable to convert into something any of their clear-cut chances, even Commons' efforts were not enough to give the home side a deserved point.
Stack produced a magnificent save in injury time to prevent Commons a dream equaliser and managed to push his side nearer to the all-important sixth place in the Championship table.