The Premier League side held a slender 1-0 advantage heading into the second leg at the Vicente Calderon, but a fine defensive display kept Atletico at bay in a goalless draw and earned Bolton a last-16 showdown with Sporting Lisbon.
Hosts Atletico dominated both possession and territory, but they were limited to only a handful of goalscoring chances by a well-marshalled Bolton backline.
Bolton may not have featured much as an attacking force, but Megson was proud of his players' application and determination against what he felt was a "very good team".
"It's a good night for us. In terms of passing and creative football, we didn't play as well as I know we can, but in terms of heart and desire, enthusiasm and work-rate, we were marvellous," Megson said.
"That is no surprise for me because we have always been like that ever since I've been at the football club.
"We didn't set out purposely to defend, we got pushed back by a very good team."
Bolton reached the last 32 during their first foray into Europe in the 2005/06 season, but they have progressed into uncharted territory with their success against Atletico after moving into the final 16.
This was the latest in a series of fine results in Europe this season, which has also seen Bolton win at Crvena Zvezda and draw at Bayern Munich.
Megson attributed their success in Europe to a having strong squad and a pool of players he has total belief in.
"I believe that's the furthest that we've ever been in Europe, and to get to this stage given the teams that we have had to play, it's a great testament to the squad that we've got, not just the team," he said.
"I don't think we've picked the same team twice in Europe, usually because of the demands of the Premiership, and I'm sure there will be a lot of changes for our game on Sunday," added Megson.
"So it's nice when players come in from that squad and play a part."