To make matters worse two of the Saddlers goals were scored by Paul Merson and the Albion boss had a chance to sign Merson from Portsmouth in the summer but chose not to and their loss has already proved to be Walsall's gain.
"Our defending was pathetic," said the Baggies boss.
Megson left scathing
"We wanted to get off to a good start to the season and if you look at the stats of the game we probably had the upper hand.