Measuring how the magnetic correlations throughout the Brillouin zone evolve in a Mott insulator as charges are introduced dramatically improved our understanding of the pseudogap, non-Fermi liquids and high $T_C$ superconductivity. Recently, photoexcitation has been used to induce similarly exotic states transiently. However, understanding how these states emerge has been limited because of a lack of available probes of magnetic correlations in the time domain, which hinders further investigation of how light can be used to control the properties of solids. Here we implement magnetic resonant inelastic X-ray scattering at a free electron laser, and directly determine the magnetization dynamics after photo-doping the Mott insulator Sr$_2$IrO$_4$. We find that the non-equilibrium state 2~ps after the excitation has strongly suppressed long-range magnetic order, but hosts photo-carriers that induce strong, non-thermal magnetic correlations. The magnetism recovers its two-dimensional (2D) in-plane Neel correlations on a timescale of a few ps, while the three-dimensional (3D) long-range magnetic order restores over a far longer, fluence-dependent timescale of a few hundred ps. The dramatic difference in these two timescales, implies that characterizing the dimensionality of magnetic correlations will be vital in our efforts to understand ultrafast magnetic dynamics.