The exotic Borromean nucleus $^{20}$Mg with $N$ = 8, located at the proton drip-line provides a unique testing ground for nuclear forces and the evolution of shell structure in the neutron-deficient region. We report on the first observation of proton unbound resonances together with bound states in $^{20}$Mg from the $^{20}$Mg($d$,$d$) reaction performed at TRIUMF. Phenomenological shell-model calculations offer a reasonable description. However, our experimental results present a challenge for current first-principles nuclear structure approaches and point to the need for improved chiral forces and {it ab initio} calculations. Furthermore, the differential cross section of the first excited state is compared with distorted-wave Born approximation calculations to deduce a neutron quadrupole deformation parameter of $beta_n$=0.46$pm$0.21. This provides the first indication of a possible weakening of the $N$ = 8 shell closure at the proton drip-line.