One of the most exotic light neutron-rich nuclei currently accessible for experimental study is ^{40}Mg, which lies at the intersection of the nucleon magic number N=28 and the neutron drip line. Low-lying excited states of ^{40}Mg have been studied for the first time following a one-proton removal reaction from ^{41}Al, performed at the Radioactive Isotope Beam Factory of RIKEN Nishina Center with the DALI2 γ-ray array and the ZeroDegree spectrometer. Two γ-ray transitions were observed, suggesting an excitation spectrum that shows unexpected properties as compared to both the systematics along the Z=12, N≥20  Mg isotopes and available state-of-the-art theoretical model predictions. A possible explanation for the observed structure involves weak-binding effects in the low-lying excitation spectrum.