A sharp feature in the charge-density excitation spectra of single-crystal MgB2, displaying a remarkable cosinelike, periodic energy dispersion with momentum transfer (q) along the c* axis, has been observed for the first time by high-resolution nonresonant 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 MgB2.