A sharp feature in the charge-density excitation spectra of single-crystal MgB$_{2}$, displaying a remarkable cosine-like, periodic energy dispersion with momentum transfer ($q$) along the $c^{*}$-axis, has been observed for the first time by high-resolution non-resonant inelastic x-ray scattering (NIXS). Time-dependent density-functional theory calculations show that the physics underlying the NIXS data is strong coupling between single-particle and collective degrees of freedom, mediated by large crystal local-field effects. As a result, the small-$q$ collective mode residing in the single-particle excitation gap of the B $pi$ bands reappears periodically in higher Brillouin zones. The NIXS data thus embody a novel signature of the layered electronic structure of MgB$_{2}$.