What is the scale of new physics behind the muon $g-2$?

We study the constraints imposed by perturbative unitarity on the new physics interpretation of the muon $g-2$ anomaly. Within a Standard Model Effective Field Theory (SMEFT) approach, we find that scattering amplitudes sourced by effective operators saturate perturbative unitarity at about 1 PeV. This corresponds to the highest energy scale that needs to be probed in order to resolve the new physics origin of the muon $g-2$ anomaly. On the other hand, simplified models (e.g.~scalar-fermion Yukawa theories) in which renormalizable couplings are pushed to the boundary of perturbativity still imply new on-shell states below 200 TeV. We finally suggest that the highest new physics scale responsible for the anomalous effect can be reached in non-renormalizable models at the PeV scale.