The club may lie in 12th place in the Premier League but they are only five points above the relegation zone with eight games remaining.
Some fans have not yet warmed to Megson but lifelong fan Khan believes he is the man to take Wanderers forward.
"Gary Megson is doing a good job and he knows exactly what to do, "said the Commonwealth lightweight champion.
"Bolton are not doing that well at the moment but they will come back and stay up this season.
"In any sport you have ups and downs. If they can get a couple of wins in the next few games they will be back up there."
Khan heads off on holiday on Thursday content in the knowledge his career is on an upward curve again.
He is still basking in the glow of his marvellous fifth-round victory against the highly respected Marco Antonio Barrera in Manchester two weeks ago.
Khan's classy display emphasised the progress he has made under trainer Freddie Roach since his defeat by Breidis Prescott.
He now intends to build on that stunning success and round off 2009 with a shot at the world title.
"They call Freddie 'the doctor' as he knows everything. I just followed his instructions, " he said at the launch of his DVD 'Khan the Champion'.
"Training in America is the best move I have made and maybe the defeat by Prescott was a blessing in disguise.
"So much has changed since I starting going to Freddie's gym. I am totally focused and get away from all the distractions in England.
"I have improved under Freddie. He tells me to keep my hands up tight and hit and move. I have learned to pace myself, be patient and use my jab.
"I have matured as a fighter and become a man. I use my head now and not my heart and am thinking about every shot."