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For your initial orientation, this is a nice all-in-one unofficial pinout diagram from pighixxx thanks Creative Commons CC BY-ND 2.0:
This pinout schematic will especially help you understand the SysML modelling of the main 3 headers and their connections to the main ATMega2560 mcu chip, but it is not complete, and it does not include all necessary information on the secondary ATmega16U2 chip, its ICSP header, processing of USB, the RESET jumper, and many other smaller items. For those please inspect also the 4-page Official: Arduino Mega2560Rev3: Pinout diagrams (PDF), which you may wish to load in your PDF viewer as you work through this trail.
For comparison, here's the official photograph from top above again from the Arduino store:
