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 4-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 in [15, 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.