Striker Neil Mellor marked his recall to the team with both goals as Wednesday picked up their first three points at Hillsborough this year.
Steven Gillespie struck late on for Colchester, but Wednesday held on to leave Megson beaming.
He said: "It's been a long time coming as we haven't won a game at home this year.
"I thought we deserved it and I said to the players at the end that it was a great result and under the circumstances a great performance.
"It was never going to be Barcelona-type stuff because of the situation that we are in, but it was honest and workmanlike.
"The only disappointment is the goal in the last few minutes that has made it a little bit harder for ourselves."
Source: PA
Source: PA