An internal investigation has been launched by the club and speaking ahead of Forest's game with Burnley tomorrow Megson said: "This isn't the first time this has happened since I've been here - it's twice now.
"The headlines we've been seeing are hard to take and the people involved should not be putting the club in this position. it's sad.
"I don't want to go into details because that wouldn't be right, but there are some things which have happened in my three-month tenure here which have surprised me to say the least."