In Pokemon Legends: Z-A, you'll collect plenty of Mega Shards before the game gives you a clear idea of what to do with them.
The game throws you into the story from the very moment you step off the train, with your rival guiding you through your first hour or so in Lumiose City, explaining various things along the way.
The early-game time is a tutorial, where you’ll learn about Wild Zones and Battle Zones, and encounter Mega Crystals, which can be shattered to get Mega Shards.
Mega Crystals are plentiful and easy to spot in Lumiose City, described as collections of Mega Energy, and are clusters of rock-like formations and pink shards.
The true purpose of collecting Mega Shards in Pokemon Legends: Z-A isn’t immediately clear.
Author's summary: Pokemon Legends: Z-A's Mega Shards purpose is unclear at first.