Plague is an infectious disease caused by the bacterium Yersinia pestis, which, during the fourteenth century, caused the deaths of an estimated 75–200 million people in Europe. Plague epidemics still occur in Africa, Asia and South America. Madagascar is today one of the most endemic countries, reporting nearly one third of the human cases worldwide from 2004 to 2009. The persistence of plague in Madagascar is associated with environmental and climatic conditions. In this paper we present a case study of the spatio-temporal analysis of plague incidence in Madagascar from 1980 to 2007. We study the relationship of plague with temperature and precipitation anomalies, and with elevation. A joint spatio-temporal analysis of the data proves to be computationally intractable. We therefore develop a spatio-temporal log-Gaussian Cox process model, but then carry out marginal temporal and spatial analyses. We also introduce a spatially discrete approximation for Gaussian processes, whose parameters retain a spatially continuous interpretation. We find evidence of a cumulative effect, over time, of temperature anomalies on plague incidence, and of a very high relative risk of plague occurrence for locations above 800 m in elevation. Our approach provides a useful modeling framework to assess the relationship between exposures and plague risk, irrespective of the spatial resolution at which the latter has been recorded.