The Coca-Cola Championship club have already spurned two approaches from Bolton, who parted company with Sammy Lee last week, but relented after Megson, 48, hinted he was interested in a return to the Barclays Premier League.

Chairman Milan Mandaric said in a statement on the club's official website, www.lfc.co.uk: "Despite by best efforts to retain his services and turning down two formal approaches from Bolton, Gary left me with no choice last night when he informed me he wanted to leave Leicester and talk to the Premiership club.

"I made it abundantly clear Bolton's interest was neither welcome or invited but it was evident to me that following a meeting requested by Gary following last night's home defeat by Sheffield United his loyalties and heart lay elsewhere."

Megson only took over at the Walkers Stadium on September 13, and the Foxes have won just three of his nine games in charge - and only one of those victories came in the league - a 2-0 win at Sheffield Wednesday.

The defeat to the Blades - courtesy of a Danny Webber goal - was only his second at the helm, and the Foxes have found the net just five times in the seven Championship matches under Megson.

Mandaric continued: "Naturally I am very disappointed. My objectives were to stand firm in the face of mounting interest from Bolton and intense media speculation over Gary's future but in the end these completely undermined my firm determination to retain his services.

"Needless to say our objectives to win promotion this season remain the same. The search for a new manager begins in earnest.

"In the meantime, assistant manager Frank Burrows and Gerry Taggart will assume temporary control of first-team affairs until we are in a position to announce a significant appointment."

If Megson does leave the Foxes, it will leave Mandaric searching for the fourth manager of 2007, with Rob Kelly, Nigel Worthington and Martin Allen having already left the club since the former Portsmouth owner took over the club.

Meanwhile, caretaker boss Archie Knox has ordered his players to ignore speculation over their potential next manager and focus on lifting the club out of the mire.

Knox will take charge for the second time tomorrow night as Wanderers welcome Portuguese side Braga for their opening UEFA Cup Group F tie.

Knox admitted Bolton's players had discussed the departure of Lee and his potential successor.

"That's normal, isn't it? You'll get that in every dressing room," he said.

"They'll have discussed things and talked among themselves."

But for the next 24 hours, Knox wants dressing-room conversation limited to tomorrow's tie.

"They may be disappointed that some have left and others have come in," he said.

"They've got to make sure when they get on the pitch that they give a good account of themselves."

Knox has already ruled himself out of the running, revealing he would have jumped at the chance as a younger man.

"I don't need to start losing this grey hair," he said.

"Ten years ago then, aye, absolutely. But not now.

"I still have the enthusiasm.

"But it's a 24/7 job, no doubt about that."

Knox, who Lee recruited as an assistant at the start of the season and who has been number two at both Manchester United and Rangers, was more evasive about taking a similar role under the new regime.

"Let's see if they have someone in place at the weekend and make a decision from there," he said.

Knox was involved in some memorable European nights at Old Trafford and Ibrox and admitted he thought when he joined the Scotland set-up that those days were over.

"But here we go again looking forward to another European night," he added.

"I get the same sort of feeling about it as I always did.

"There's obviously nervousness and I hope the players get the same sort of feeling because there's nothing like it, nothing like a European night, especially for a club like Bolton who don't have a great deal of experience of it."

Knox has done his homework on Braga, contacting the club they beat in the previous stage of qualifying, and expects them to employ a 4-3-3 formation.

"I spoke to the Hammarby manager this morning, a guy called Tony Gustavsson and we've seen videos, we've got reports on them," Knox reported.

"They're what you'd expect of a Portuguese team.

"They're really an offensive type team. They don't look as if they'll change their attitude tomorrow night being away from home."

Knox is aware of the importance of victory tomorrow, with trips to Bayern Munich and Red Star Belgrade to come in the group.

"We're certainly of the mind we have to get something at home," he said.

He is also hoping a win can breed confidence for a league campaign which sees Bolton lying rock bottom of the table and the return of French striker Nicolas Anelka from a thigh injury is a good starting point.

Knox said: "That's exactly what we're hoping. I think if we can get one good result under our belt then we can kick on from there."