And they crashed out of the Carling Cup with a home defeat at the hands of League Two strugglers Macclesfield Town.
Fans called for Megson to be sacked during Saturday's loss at Oakwell, and the Forest chief admits walking past the back to the dressing rooms was a nightmare.
He said: That was the longest walk I have ever done but I cannot blame the fans.
"The way they turn out in their thousands every week to watch that it's amazing - I wouldn't.
"I cannot blame the players either as I have brought 12 of them, in but their performance is not what I expect. I will sit down with the people in charge and see what they think.
"If they decide its time for a change then I'll go. But it's a fantastic club and the people in charge are wonderful."
Megson is not the only manager facing the sack - with Bristol City boss Brian Tinnion also dangerously close to his P45 after a 7-1 defeat at Swansea.
Robins chairman Steve Lansdown said: "When we come to Swansea I expect to win, but we were completely humiliated.
"I will not make a decision about Brian Tinnion's position until Sunday
at the earliest."