In New York City, a lion named Alex lives in the Central Park Zoo as a star attraction known as the "King of New York". He spends time with his friends — Melman, a reticulated giraffe, Gloria, a common hippopotamus, and his best friend, Marty, a plains zebra, who has grown weary of his daily routine and desires to experience the wild. On Marty's tenth birthday, Alex, Melman, and Gloria attempt to cheer him up, but a still-unsatisfied Marty learns that the zoo's penguins — Skipper, Kowalski, Rico, and Private — are trying to escape to Antarctica, and promptly follows them out. Marty heads towards Grand Central Terminal, as he plans to catch a train to nearby Connecticut. Alex, Melman, and Gloria pursue Marty in an attempt to convince him to return, only to end up, along with the penguins and chimpanzee duo Mason and Phil, at Grand Central, where the police officers, firemen and animal control officers subdue them. Under pressure from anti-captivity activists, the zoo is forced to ship the escaped animals by sea to a nature reserve in Kenya. During the trip, the penguins escape their crate and hijack the ship, hoping to head to Antarctica, causing the crates containing Alex and his friends to fall overboard.

Upon being washed ashore on Madagascar, the animals come across its lemur community. The predatory fossa attack the lemurs, only to be scared off by the fearsome appearance of Alex, who selfishly blames Marty for the group's predicament and makes several attempts to get them back to civilization. Marty finds life in Madagascar to be exactly what he was looking for and Gloria and Melman soon join him. Alex, coming to realize how selfish and entitled he has been and after some encouragement from Marty, eventually comes around and makes amends, but without the raw steaks he was provided at the zoo, his hunger sets in and prey drive begins to show. The lemurs' leader, ring-tailed lemur King Julien XIII, leads his subjects into befriending the castaways in hopes that Alex's presence will keep the fossa at bay, despite protest about Alex's predatory nature from his adviser, Maurice, an aye-aye. After briefly losing his sanity and attacking Marty, Alex realizes what he has done and, fearing he may be a danger to his friends, flees to the predator side of the island, where the fossa live. Seeing what Alex has become and how dangerous the wild can be, Marty regrets his decision to leave the zoo.

Having found Antarctica to be inhospitable, the penguins land the ship at Madagascar. Seeing the chance to return Alex to New York, Marty crosses over to the predator's side and attempts to convince Alex to return, but Alex refuses out of fear that he will attack Marty again. The fossa attack Marty and though Gloria, Melman, and the penguins come to the rescue, they are outnumbered. In the last minute, Alex overcomes his predatory instincts, rescues his friends, and scares the fossa away from the lemur territory permanently. The lemurs regain their respect for Alex and the penguins satisfy his hunger by feeding him sushi, which he finds better than steak. As the lemurs throw a farewell celebration for the foursome, the penguins decide not to tell them that the ship has run out of fuel, leaving them stranded on the island for the time being.