Lee Trundle marked his return to the Swansea side with the winning goal as high-flying Swansea fought back from a goal down to take all three points.
Megson told the club website: "You want to win every game that you play and if you can't win then you want to get something from it.
"But if there is an acceptable way to lose a game, that was probably it.
"We had a lot of possession, played some decent stuff, had most of the opportunities and pressure but two bits of high quality have caused our downfall."