Megson said: "We seem incapable of going on to make it three or four goals after going 2-0 up.
"It happened against Tottenham and Blackburn and it happened again today. We showed apprehension and started playing differently.
"But it would be wrong to criticise the players. We have won what I felt was a vital game for us - our biggest of the season.
"We got off to a great start but we need to show more confidence in ourselves and a bit more belief. We have got good players."