Megson was dismissed by chairman Milan Mandaric on Wednesday night, despite guiding his team to third in League One and delivering a vital win over Steel City rivals United on Sunday.
However, Mandaric felt the Owls' promotion push would be better suited with a new manager at the helm, with Dave Jones and Paul Ince the reported favourites to take over.
A statement read: "Sheffield Wednesday can confirm that assistant manager Chris Evans and first-team coach Neil Thompson will oversee first-team affairs until the appointment of a new manager."
The Owls are expected to have a new man in place before Saturday's trip to Rochdale.
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