MegaSD Compatibility
This is the MegaSD page
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Compatibility: Mega Sg
The MegaSD is compatible with Analogue's Mega Sg console, however there's currently compatibility issues with the Mega Sg and the Sega CD that will need to be fixed in a firmware update from Analogue. The majority of these issues should NOT affect the MegaSD when it's used through the cartridge port. If you're using the MSDEXP with the MegaSD on the Mega Sg, you will encounter these compatibility issues. In the current firmware (v4.7 from Analogue, v7.7 for the jailbreak) games like Sonic CD, Final Fight CD and others will not work correctly when running them through the expansion slot with both real Sega CD units and the MSDEXP with the MegaSD. You can workaround some of these compatibility issues by downgrading the Mega Sg's firmware to v4.6 (which is from Analogue) or v7.6 (for the jailbreak firmware) but games like Chuck Rock, The Adventures of Willy Beamish and NHL '94 won't work while running them through the expansion slot.
Again, the MegaSD when used through the cartridge slot will avoid most of these compatibility issues, except for games like Double Switch and the US release of WWF: Rage in the Cage which have issues that Analogue will need to fix in a firmware update. This is NOT a MegaSD issue.