Merge join is not a bad thing and it may be efficient already in your execution plan. What you have to observe when you see the merge joins and performance slow on that plan is to focus on the upstream operations that are going into the merge join. Whether the data is presorted as you already have an index or whether the data is presorted in SQL Server own way then in that case, you can simply check if you can just add that missing column in the index and place in the last key column in the index or use a different join algorithm will be better. The other scenario might be you have lots of duplicate values in your data. If that is the case SQL Server will be using the work tables to handle how the duplicate values can be joined on. So, if you see the duplicate values or using tempdb, then finding the better options will be good.
Click through for more detail. Each physical operator has its place and does quite well within it, but the challenge comes when the optimizer thinks a particular route is better than the one you had in mind.