Megson, who followed in dad Don's footsteps and played for the Owls as a player, was last week installed as Alan Irvine's successor following the club's poor recent results which have seen them slip to 12th place in the table, eight points adrift of the play-offs.
O'Connor said: "There's a lot of history here for Gary. His dad was involved and he shares a real love for Wednesday.
"'It's a proper football club', he would always say and without doubt, I'm still looking for us to get promoted this season."
O'Connor added: "I've played under Gary a couple of times, at Stoke and West Brom. He was very unfortunate at Stoke because the Icelandic takeover happened and he lost his job. Then at West Brom he had great success, followed by success at Bolton. He's actually a very under-rated manager. He didn't get the credit he deserves at Bolton."
Source: PA
