They ventured into Europe for the first time in the club's history in 2005/06 and enjoyed another UEFA Cup campaign last term.
Yet the fear of relegation which haunted them for most of last year has refused to go away and they entertain Aston Villa on Saturday with their safety far from assured.
The Trotters' tally of 37 points means they lie six points above third-bottom Middlesbrough with five matches remaining but Megson is taking nothing for granted.
He said: "I don't know how many points it's going to take to make us safe - 37 might be enough but you can't rely on that.
"We've got to roll our sleeves up and battle and scrap because someone below us will finish strongly, just like we did last season.
"We have to make sure that those teams don't gain any ground on ourselves.
"The only time you can relax - and even then we wouldn't want the players to - is when you've got enough points on the board so that anybody in the bottom three cannot catch you.
"That's not the case at the moment, or indeed with anybody in the bottom half of the table.
"You never know what might happen.
"We've just got to make sure that we try to pick up enough points so that whatever happens elsewhere doesn't have an impact on us."
Megson has struggled to find favour with Bolton's fans since his appointment in October 2007, despite saving them from relegation last season against the odds.
Asked to sum up the achievement of beating the drop for the second season running, Megson listed the constraints he claims he is forced to work under.
"We've got the smallest squad in the Premier League, we have probably got the lowest wage bill and we're the fourth lowest spenders," he said.
"I'm not moaning because these are the kind of things you have to cope with here.
"In my view the players deserve great credit - even at this point in the season - but I want them to finish on a strong note.
"I want them to push on and I'm sure that we will get that from them in the next five games to make sure we stay in this division."
Megson will assess the fitness of defenders Ricardo Gardner and Danny Shittu ahead of the visit of Martin O'Neill's men.
Gardner limped out of last week's 1-0 defeat at Portsmouth after only 12 minutes with a hamstring injury and Shittu missed the trip to Fratton Park altogether with a calf strain.