Davies was included in Fabio Capello's provisional squad for the Wembley dates with Slovakia and Ukraine last week - but the 32-year-old was left bamboozled as he was overlooked despite a striker crisis for the Three Lions.
Injuries to Emile Heskey, Carlton Cole and late call-up Darren Bent opened the door for Davies - but Gabriel Agbonlahor was eventually called from the Under-21 set-up to leave the Bolton forward scratching his head.
Davies, who admitted the whole scenario has unsettled him, even claimed that Alan Shearer and Kevin Keegan had more chance of a call-up.
But his club boss reckons the 10-goal marksman can use the disappointment to keep Bolton in the league, starting with Saturday's home fixture against relegation rivals Middlesbrough.
Megson told The Daily Mirror: "Kevin is all right. He is not despondent. He is a good, sensible lad. He will realise he has to keep plugging away.
"He is very close to it [an England call-up] but has just not managed to get selected yet. I was disappointed for him, as it would have been nice to see him there.
"But there is nothing he can do but keep doing what he is doing and hope the opportunity comes."
And Davies seems ready to answer his manager's call as he looks to take out his frustrations on Boro and pull Wanderers clear of the drop-zone.
He told The Sun: "If we get to 37 it would put a lot of points between us and them. We've always felt we had a decent run-in and this is one of the games we targeted."
Bolton v Middlesbrough 1st Goalscorer: Davies, K. 13/2