Arduino Nano, Uno and Mega - XBee connection difference
Not all arduino Mega pins support 'change interrupts', which is needed for Software Serial.  Only the following can be used for RX:

10, 11, 12, 13, 14, 15, 50, 51, 52, 53, A8 (62), A9 (63), A10 (64), A11 (65), A12 (66), A13 (67), A14 (68), A15 (69).