Gareth Taylor's penalty midway through the second-half pulled Forest level but two Scunthorpe goals ended the home side's run of league defeats and increased the pressure on the Reds boss.
"I felt that we threw it away again ," said Megson after the game. "They had only four shots and three went in but we have not been productive enough at either end.
"There was nothing in it in the first half. We were not particularly brilliant but they weren't either.
"Our penalty was fortunate although Gareth put it away very well and anyone looking at the match then would say that we were going to go on and win it.
"But they have had four strikes on target and three have gone in, We have to be better than that."