Nolan has been assured he will keep the captain's armband, while Sheffield United have had a request to take Speed on loan knocked back.
Megson said: "I've only been here a week but I can't praise Kevin highly-enough. He brings the dressing room together and has the best interest of the club at heart.
"His form is starting to come back - every club needs a player like him.
"And Gary is going to play a big part in what we are doing here. He has been a real good pro."