We establish a simple yet general parameterization of Higgs-muon interactions within the effective field theory frameworks, including both the Higgs Effective Field Theory (HEFT) and the Standard Model Effective Field Theory (SMEFT). We investigate the potential of a muon collider, operating at center-of-mass energies of 3 and 10 TeV, to probe Higgs-muon interactions. All possible processes involving the direct production of multiple electroweak bosons ($W$, $Z$, and $H$) with up to five final-state particles are considered. Our findings indicate that a muon collider can achieve greater sensitivity than the high-luminosity LHC, especially considering the independence of the Higgs decay branching fraction to muons. Notably, a 10 TeV muon collider offers exceptional sensitivity to muon-Higgs interactions, surpassing the 3 TeV option. In particular, searches based on multi-Higgs production prove highly effective for probing these couplings.