"You need a crossbow if you want to tame one so dont try it until u got one" There are 2 ways to tame a megalodon :

1.If you found a good megalodon near the shore then you re pretty lucky cuz u just have to go under water attack it then go back on the shore , do that till the megalodon gets knocked out.

2. If u found a megalodon but it s not near the shore than you have 2 options trap it or use another mount like an ichtyosaurus cuz he doesnt attract watter creatures and you can equip a crossbow on him.