Other commenters have made very good points but I also want to point out that in addition to these, we experience a lot of selection bias through the fossil record. There WERE plenty of smaller animals throughout history: birds, squirrels, bats, etc. but their bones are small and so more likely to be obliterated before fossilization can take place. The resultant sample size we draw from is thus skewed toward megafauna.
I should also point out that we do have megafauna today: the blue whale is far larger than any dinosaur ever was. It’s just that it exists only in the ocean, where people tend not to go/
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