  The zone-center $E_{2g}$ modes play a crucial role in MgB$_2$, controlling
the scattering mechanisms in the normal state as well the superconducting
pairing. Here, we demonstrate via first-principles quantum-field theory
calculations that, due to the anisotropic electron-phonon interaction, a
$hot$-$phonon$ regime where the $E_{2g}$ phonons can achieve significantly
larger effective populations than other modes, is triggered in MgB$_2$ by the
interaction with an ultra-short laser pulse. Spectral signatures of this
scenario in ultrafast pump-probe Raman spectroscopy are discussed in detail,
revealing also a fundamental role of nonadiabatic processes in the optical
features of the $E_{2g}$ mode.
