They were on course for another famous success when midfielder Gavin McCann scored his second UEFA Cup goal this season in the 25th minute.
But Sporting hit back in style when Simon Vukcevic struck a brilliant equaliser with 21 minutes remaining to leave Bolton clear underdogs.
"Most of the teams that we have played this season have regarded us as underdogs and indeed, in the Premiership, most of the time we are seen as the underdogs," said Megson.
"I then made 10 changes when we came back and won a game in the league that weekend.
"We've at times played people from the squad who have come in and done very well and we'll be doing the same again."
Megson has stressed all along that Premier League survival is far more important than a prolonged run in the UEFA Cup.
Thus he sees the trip to local rivals and fellow strugglers Wigan on Sunday week - three days after the second leg in Lisbon - as more important than continued interest in European competition.
Megson said: "The result here is going to make absolutely no difference to the team that will be going out at Lisbon.
"Whatever we did tonight, we have one eye on the Wigan game on the Sunday."
Sporting coach Paulo Bento had criticised Bolton's long-ball approach beforehand and was equally scathing of their tactics after the game.
Bento said: "In the first half we didn't play very well but in the second half we were able to react well to get a result.
"We had a lot more possession and played from the back to the front.
"They played a lot of long balls as we knew they would but credit to them, they made it difficult for us."