At the Central Park Zoo, Marty the zebra (Chris Rock) is celebrating his tenth birthday, but longs to see the rest of the world from outside his pampered life at the zoo. Believing that he can find wide-open spaces to run in Connecticut, he gets some tips from the zoo's penguins who are similarly trying to escape the zoo. Marty's friends, Alex the lion (Ben Stiller), Gloria the hippo (Jada Pinkett Smith), and Melman the giraffe (David Schwimmer), realize Marty's folly and try to follow him. The four, along with the penguins (consisting of Skipper (McGrath), Rico (John DiMaggio), Kowalski (Chris Miller), and Private (Christopher Knights) and two monkeys, Mason (Conrad Vernon) and Phil, eventually find themselves at Grand Central Station, but are quickly sedated by tranquilizer darts when Alex's attempt to communicate is mistaken for aggression. The zoo, under protest of animal-rights activists, are forced to ship the animals by sea to Kenya. During their travels, the penguins manage to escape and take over the ship, intent on taking it to Antarctica. Their antics on the bridge cause the crates containing Marty, Alex, Gloria, and Melman to fall off the boat and wash ashore on Madagascar.

The animals are soon able to regroup, initially believing themselves to be in San Diego, California. Upon exploring, however, they come across a pack of lemurs led by King Julien XIII (Sacha Baron Cohen), and quickly learn of their location. Alex blames Marty for their predicament and attempts to signal for help to get back to civilization, while Marty finds the wild to be exactly what he was looking for, with Gloria and Melman soon joining him in enjoying the island. Alex eventually comes around, though his hunting instincts begin to return due to hunger for meat and after being away from the pampered zoo life for so long. The group is accepted by the lemurs, though King Julien's adviser, Maurice (Cedric the Entertainer), cautions them about Alex being a predator. King Julien ignores Maurice's concerns and persuades the group to help the lemurs fend off the fossa who hunt the lemurs as prey. When Alex begins to turn on his friends and the lemurs, unable to overcome his instincts and hunger, King Julien bans him to the far side of the island with the fossa. Marty begins to regret seeing what Alex has turned into.

The penguins, having been to Antarctica and finding it not to their liking, land the boat on Madagascar. Seeing this as a chance to return Alex to New York, Marty, with Gloria and Melman, goes to find Alex but become trapped by the fossa. Alex suddenly appears and approaches Marty as if he were prey, but then turns on the fossa to scare them away from the lemur territory forever, showing Marty he has overcome his predatory nature. The penguins help Alex satisfy his meat craving through sushi instead of steak. As lemurs throw a bon voyage celebration for the foursome, the penguins decide not to break the news that the ship has run out of fuel and that they are still stuck on the island, setting the stage for Madagascar: Escape 2 Africa.