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The longstanding muon g-2 anomaly may indicate the existence of new particles that couple to muons, which could either be light (< GeV) and weakly coupled, or heavy (>> 100 GeV) with large couplings. If light new states are responsible, upcoming intensity frontier experiments will discover further evidence of new physics. However, if heavy particles are responsible, many candidates are beyond the reach of existing colliders. We show that, if the g-2 anomaly is confirmed and no explanation is found at low-energy experiments, a high-energy muon collider program is guaranteed to make fundamental discoveries about our universe. New physics scenarios that account for the anomaly can be classified as either "Singlet" or "Electroweak" (EW) models, involving only EW singlets or new EW-charged states respectively. We argue that a TeV-scale future muon collider will discover all possible singlet model solutions to the anomaly. If this does not yield a discovery, the next step would be a O(10 TeV) muon collider. Such a machine would either discover new particles associated with high-scale EW model solutions to the anomaly, or empirically prove that nature is fine-tuned, both of which would have profound consequences for fundamental physics.