Wanderers, who host Everton on Sunday in the Premier League, have long been derided for their supposed preference of the more direct, physical approach, but their recent performances have provided evidence to the contrary.
The team's passing game has impressed in their last two league fixtures, a 2-2 draw with Tottenham at the Reebok Stadium and a 2-1 defeat by Manchester United at Old Trafford from which they were unlucky not to emerge with a point.
Megson is keen for his players to continue in a similar vein and believes that if they do, they will be a match for anybody.
"I think it's a great lesson for us that when we play the kind of football that we are capable of playing we can cause even the best teams a huge amount of problems," Megson said.
"But the issue is that knowing it and doing it is two different things.
"If you look back quite a few months ago, we were 4-0 down against Chelsea, (Chris) Basham comes onto the pitch and we get a little bit of impetus about us and we score three goals in the space of 10 or 12 minutes.
"This time we have done similar things against United but without the amount of goals. I think there's a pointer there for everybody.
"We have got to get it drummed in that when we play fast, penetrating and high-tempo football, we look much better and the opposition struggle with us."
Megson celebrates two years as Bolton manager this week and the former West Brom boss feels the club has moved in the right direction since he replaced Sammy Lee at the helm in 2007.
"I joined a football club that was going to get relegated, was falling apart off the field, and I managed to stop that by keeping the club up," Megson said.
"We moved on to a just below mid-table finish last year. I think in total we've spent about seven or eight million - a lot of players have left for big fees, there has been a huge amount of changeover in the last two years.
"The building has stayed the same, but that's about it. But what we have now got to do is stop looking back at that period and try and take the club forward from where we are now."
A key issue at present is Bolton's lack of a home win in the league this season, something Megson is eager to address as soon as possible.
"It's been a long time since we won a Premier League game at home," he said.
"There have been some decent performances but we need a strong home record and at the moment we haven't got that. We need to put that right and put it right quickly."