"We have lost our last three Premier League games but we played ever so well in them," Megson told BBC Sport. "We are not lacking in confidence.
Although Bolton find themselves in 18th place, Megson is quick to point out that his team are one of several threatened by relegation.
"Whilst our position at the moment is perilous I don't think there is anybody in the bottom half with the exception of Tottenham who would not consider their own position perilous as well," he said.
"There is a lot to play for. There are 30 points available and we have 10 very difficult games.
"But when we play and we play properly, putting a good shift in, we are capable of beating anyone."