Hi,
I know this is an old topic - but still relevant.
I have been trying to get my gsm/sd shied to work with my mega 2560 with no luck.
This is the number one hit when searching - so I will post my solution here.
I turned out my problem was the power connection.
If you are using jumperwires to connect the shield - make sure to connect the 3.3v power supply.
I have only connected the 5v. supply.
And the make sure you connect the SPI correct
SPI Uno Mega
SS 10 53
MOSI 11 51
MISO 12 50
SCK 13 52