We study double ionization of Mg by electron impact through the vantage point of classical mechanics. We consider all electron-electron correlations in a Coulomb four-body problem, where three electrons belong to the atom and the fourth electron causes the impact ionization. From our model we compute the double-ionization probability of Mg for impact energies from 15, to 125 eV. Double ionization occurs through eight double-ionization mechanisms, which we classify into four categories: inner shell capture, direct, delay and ionized inner shell mechanisms. We show that delay and ionized inner shell mechanisms require electron-electron correlations among the four electrons, and are responsible for the second increase in the double-ionization probability. Furthermore, we show that our theoretical prediction about the relative prominence of certain double ionization mechanisms is in agreement with experimental results on the relative prominence of non-first- over first-order mechanisms.