Megson said: "We got a terrific start but we didn't press it home and we were looking to hang onto it instead of pushing forward. We are a bit of an enigma at the moment.
"We spoke at half-time about having that little bit of belief and that will come from myself and the staff and everyone connected with the club. They need a bit of help to believe in themselves.
"Our first goal was always going to make it difficult but we should have made it more difficult for Middlesbrough today. But hopefully we can keep improving in the short term to get where we want to be in the long term."
Boro boss Gareth Southgate admitted he could find no immediate answer for his side's flat display and conceded Megson's more lively visitors were full value for the three points.
Southgate said: "We didn't deserve anything from the game and we made the wrong decisions too many times. When you have a start like that you give yourselves a mountain to climb.
"We didn't make the game simple enough and sometimes you have to hold your hands up and say they deserve it.
"It was also disappointing because we spoke about when we get the momentum there will be a swing in the game.
"But we didn't have that long enough to make it count and to concede just after we'd scored killed the game."