Ultrafast laser excitation of ferromagnetic metals gives rise to correlated, highly non‐equilibrium dynamics of electrons, spins and lattice, which are, however, poorly described by the widely‐used three‐temperature model. Here, a fully ab initio parameterized out‐of‐equilibrium theory based on a quantum kinetic approach – termed (N+2) temperature model – is developed to describe magnon occupation dynamics due to electron‐magnon scattering. This model is applied to perform quantitative simulations on the ultrafast, laser‐induced generation of magnons in iron and demonstrates that on these timescales the magnon distribution is non‐thermal: predominantly high‐energy magnons are created, while the magnon occupation close to the center of the Brillouin zone even decreases, due to a repopulation toward higher energy states via a so‐far‐overlooked scattering term. It is demonstrated that the simple relation between magnetization and temperature computed at equilibrium does not hold in the ultrafast regime. The ensuing Gilbert damping, furthermore, becomes strongly magnon wavevector dependent and requires a description beyond the conventional Landau‐Lifshitz‐Gilbert spin dynamics. The ab initio parameterized calculations show that ultrafast generation of non‐thermal magnons provides a sizable demagnetization within 200 fs in excellent comparison with experimentally observed laser‐induced demagnetizations. This investigation thus emphasizes the importance of non‐thermal magnon excitations for the ultrafast demagnetization process.