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 ultrashort 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.
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