Starting from first principles, we show the formation and evolution of superconducting gaps in MgB$_2$ at its ultrathin limit. Atomically thin MgB$_2$ is distinctly different from bulk MgB$_2$ in that surface states become comparable in electronic density to the bulk-like $sigma$- and $pi$-bands. Combining the ab initio electron-phonon coupling with the anisotropic Eliashberg equations, we show that monolayer MgB$_2$ develops three distinct superconducting gaps, on completely separate parts of the Fermi surface due to the emergent surface contribution. These gaps hybridize nontrivially with every extra monolayer added to the film, owing to the opening of additional coupling channels. Furthermore, we reveal that the three-gap superconductivity in monolayer MgB$_2$ is robust over the entire temperature range that stretches up to a considerably high critical temperature of 20 K. The latter can be boosted to $>$50 K under biaxial tensile strain of $sim$ 4%, which is an enhancement stronger than in any other graphene-related superconductor known to date.
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