Assuming that you're asking for all of the Pokemon that have not been shown in their Mega Evolved form, (and that you're not asking for the Pokemon that have not been shown changing from their normal form to their Mega Evolved form (if this is what you're asking, please tell me)) all Pokemon that have Mega Evolutions have been show in the anime. However, not all of the Pokemon that have Mega Evolutions have been shown in the main anime. Listed below are the Mega Pokemon that have not been shown in the main anime (and what side episode/movie they appeared in)
Mega Venusaur (Appeared in Mega Evolution Special 1)
Mega Beedrill (Appeared in Mega Evolution Special 2 and Volcanion and the Mechanical Marvel)
Mega Pidgeot (Appeared in Mega Evolution Special 2 and Volcanion and the Mechanical Marvel)
Mega Alakazam (Appeared in Mega Evolution Special 1 and Volcanion and the Mechanical Marvel)
Mega Slowbro (Appeared in Mega Evolution Special 2)
Mega Gengar (Appeared in Mega Evolution Special 1 and Volcanion and the Mechanical Marvel)
Mega Kangaskhan (Appeared in Mega Evolution Special 1)
Mega Pinsir (Appeared in Mega Evolution Special 1 and Volcanion and the Mechanical Marvel)
Mega Aerodactyl (Appeared in Mega Evolution Special 1)
Mega Mewtwo X (Appeared in Mega Evolution Special 1)
Mega Mewtwo Y (Appeared in Mewtwo — Prologue to Awakening and Genesect and the Legend Awakened)
Mega Scizor (Appeared in Mega Evolution Special 1 and Diancie and the Cocoon of Destruction)
Mega Heracross (Appeared in Mega Evolution Special 1 and Volcanion and the Mechanical Marvel)
Mega Tyranitar (Appeared in Mega Evolution Special 1 and Volcanion and the Mechanical Marvel)
Mega Swampert (Appeared in Mega Evolution Special 2 and Volcanion and the Mechanical Marvel)
Mega Sableye (Appeared in Mega Evolution Special 2)
Mega Aggron (Appeared in Mega Evolution Special 1 and Volcanion and the Mechanical Marvel)
Mega Medicham (Appeared in Mega Evolution Special 1)
Mega Manectric (Appeared in Mega Evolution Special 1 and Volcanion and the Mechanical Marvel)
Mega Sharpedo (Appeared in Mega Evolution Special 2 and Volcanion and the Mechanical Marvel)
Mega Camerupt (Appeared in Mega Evolution Special 2 and Volcanion and the Mechanical Marvel)
Mega Altaria (Appeared in Mega Evolution Special 2)
Mega Banette (Appeared in Mega Evolution Special 1 and Volcanion and the Mechanical Marvel)
Mega Glalie (Appeared in Mega Evolution Special 2 and Volcanion and the Mechanical Marvel)
Mega Salamence (Appeared in Mega Evolution Special 2 and Volcanion and the Mechanical Marvel)
Mega Latias (Appeared in Mega Evolution Special 2 and Hoopa and the Clash of Ages)
Mega Latios (Appeared in Mega Evolution Special 2 and Hoopa and the Clash of Ages)
Mega Rayquaza (Appeared in Mega Evolution Special 2 and Hoopa and the Clash of Ages)
Mega Lopunny (Appeared in Mega Evolution Special 2)
Mega Gallade (Appeared in Mega Evolution Special 2)
Mega Diancie (Appeared in Diancie and the Cocoon of Destruction)
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