The Owls have been sleeping for far too long and a revival is well over-due.
It was a battling draw at Walsall against a side desperately fighting for League One survival but a match manager Megson feels Wednesday should have gone on to win on their second-half performance.
They had to show resilience to bounce back after going behind to an early goal from Jon Macken following a spell of intensive pressure that must have been expected from opposition in dire need of a win.
The pleasing feature in the circumstances was that Wednesday, now beaten only the once in their last six games, weathered this storm and battled back whereas in the past they would probably have capitulated.
Neil Mellor’s 26th-minute equaliser – his 18th-goal of the season – effectively put the brakes on Walsall and thereafter Wednesday were generally the better team as they maintained their recent improvement.
Gary Madine was the player most disappointed with the result but Megson was full of encouragement for the front man.
“We had enough chances to win that game and we are disappointed we didn’t,” he said. “Gary (Madine) is disappointed because he feels he could have had a hat-trick but he played very well today and if he keeps playing like that, the goals will come.
“Walsall started the game very well, forcing four or five corners. They scored and I think everyone in the ground could see that was coming.
“But we rolled up our sleeves, recovered well, and took the game back to Walsall.”
The winning goal eluded Wednesday with Madine’s 71st-minute miss highlighting a frustrating match for the Hillsborough side and the 1,500 travelling fans when he headed down a Gary Teale free-kick only to see the ball go over the bar.
Most of Wednesday’s pressure originated down the left where Lewis Buxton was often instrumental in setting up some dangerous attacks as well as producing a solid defensive performance.
Walsall: Walker, Williams, Butler, Lancashire, Westlake (Byfield 74), Gray, Laird, Richards, Taundry, Cook (Nicholls 85), Macken. Unused substitutes: Bevan, Smith, Gbarssin, Patterson, Grigg.
Sheffield Wednesday: O’Donnell, Otsemobor, Batth, R Jones (R Johnson 83), Buxton, Teale, Miller, O’Connor, Coke, (J Johnson 46), Mellor, Madine. Unused substitutes: Weaver, Morrison, Potter, D Jones, Sedgwick.
Man of the match: Lewis Buxton.
Referee: S Hooper (Wiltshire)