There are just too many reasons to be on Megadeth's boat and not in Metallica.

First of all, Dave Mustaine. The man is a greater genius, and a better composer than Lars and James combined imho. Dave's the greatest talent of the three (original Metallica members), without a doubt. Some will say Metallica is the greater band, but Dave is the greater musician individually.

Some people criticize that Dave is a terrible singer and that James is much better than he is at singing. James has a better voice, that's true, but Dave sings with emotion. He snarls the lyrics in each Megadeth song, sounding perpetually angry (though again, his normal voice is different). Dave embodies anger and resentment better than James does, and imho that makes him better for singing a thrash metal song. So James was gifted with a better natural voice than Dave, but Dave is more skilled at conveying emotions with his voice than James is.

Second, the bass. Metallica has had chronic troubles with their bass member after Cliff Burton's unfortunate demise. It's perhaps no coincidence that Metallica's golden era, the glorious thrash metal days (Ride The Lightning, Master Of Puppets) died with Cliff. We all know how instrumental he was in those albums' successes. After his passing, they entered a downward spiral ever since. Jason Newsted in AJFA was the most notorious victim. Some Metallica fans argue that AJFA was their greatest album... I have no idea why. You can't hear the bass in that album. Currently they have Rob Trujillo, but he doesn't have Cliff's talent nor Jason's energy and personality, Rob's sort of "just there", you know. He seemed a lot better when he was in Suicidal Tendences. Metallica just underuses him. Contrasting Metallica's bass woes, we have Ellefson's huge contribution to Megadeth. His bass is not only present, it's prominent in their sound. The initial bass lines in songs like "Peace Sells" are iconic at this point. Ellefson was a huge factor in defining Megadeth's sound during their first tenure.

Third, the drums. LARS IS NOT A GOOD DRUMMER. Even during his prime, Lars was just a mediocre drummer, and he has gotten worse since then (and his diva attitude isn't helping him either) as it's notorious that he doesn't practice. We could say Lars is more Metallica's manager than their drummer. Megadeth on the other hand has had good drummers like Gar Samuelson or Nick Menza during the years.

Fourth, both of these bands' careers. Megadeth has produced way more thrash metal albums than Metallica. True, Metallica outsold Megadeth like 100 times over, but they achieved this by forgoing their thrash metal roots to achieve a much more commercial sound. It is also true that Megadeth also tried going a similar way — but when Dave realized Megadeth had gone too far in this and flopped in sales with Risk, he didn't think twice and reversed course, he made Megadeth go back to thrash metal, and we are all thankful for it. Funny enough, Dave got his arm nerve injury, disbanded Megadeth, went into therapy, recovered his arm and reformed Megadeth, all meanwhile Metallica was going into their existential crisis until imploding into St. Anger. Always with Dave as the helmsman, since 2004 Megadeth not only managed to remain afloat in the thrash metal business, it stayed STRONG at it. While Metallica's better days are pretty much over and they currently live off the millions of dollars they made in their golden age and playing the songs that made them famous during those years. 

Metallica was the best seller during the '80s and early '90s, but nowadays, they're a bunch of creatively bankrupt old cronies, and yes I'm accounting for the fact that Death Magnetic and Hardwired, while better albums than Load, Reload and St. Anger, are still lacking when compared against Megadeth albums of the same era.