Arduino mega + sim800l evb =(PROBLEM CONECTION)

If that was a reply to my comment then I don’t think you understoood what I was saying.
If you used hardware serial then a baud rate of 115200 baud is fine, but when you use software serial the library isn’t really able to handle such high baud rates successfully.
When you use an Arduino with an ESP to give Wi-Fi connectivity then the maximum reccomended software serial baud rate is 9600.

Note that you have to have both devices talking to each other at the same baud rate, so the rate used in the sketch must match the SIM800 baud rate - which will be set using an AT command.

Pete.