A pulsating match at the Reebok Stadium took a dramatic turn in the 73rd minute when the gifted Sergio Aguero was red-carded for spitting, ruling him out of the return leg.
The Argentinian reacted angrily to a challenge from the outstanding Matt Taylor and was immediately dismissed by referee Peter Rasmussen.
Bolton immediately took advantage and scored the winner a minute later when El-Hadji Diouf scored at the back post for his fifth goal of the season.
It now means they have slight advantage next week in Spain next week against one of the favourites for the tournament.
"I did not see what happened because it was a long way away but I believe that is what the lad was sent off for. There is no place for it (spitting)."
Atletico coach Javier Aguirre said: "I have looked at the TV pictures and it seems he spat on the ground between the linesman and the player."
It was a richly deserved win for Bolton, which came on the back of a home defeat by Portsmouth at the weekend.
Backed by a season's-best crowd of 26,163, they again showed their liking for European football.
Megson said: "We had an exceptional atmosphere and the players responded.
"That lifted the crowd even more and it was a good night. The only thing we could have improved on was to score more goals.
"I have always been proud of the team when they have put in a really good effort.
"Today we did that and have taken the game to a fantastic team. We did the same on Saturday but it did not go our way."
However, Aguirre is convinced Atletico will go through to the next stage.
"The defeat is difficult to digest and we have paid a heavy price with the sending off of Aguero," he said.
"We thought we had weathered the storm. Then came the incident. But I believe we are capable of turning things around."