Megazostrodon was a small, shrew-like animal between 10 and 12 centimetres (3.9 and 4.7 in) long which probably ate insects and small reptiles. It is thought to have been nocturnal as it had a larger brain than earlier cynodonts and the enlarged areas of its brain were found to be those that process sounds and smells. This was probably in order to avoid being in competition with the reptiles or becoming prey to the dinosaurs.

Although considered a close relative of mammals, it did have some non-mammalian characteristics inherited from its predecessors: the first two vertebrae (atlas and axis) were still unfused as in earlier cynodonts, and it only had three sacral vertebrae instead of the usual mammalian five. An interclavicle is also present, which is still present in monotremes but lost in the line leading to therian mammals.