Madagascar harbors four large adaptive radiations of endemic terrestrial mammals: lemurs, tenrecs, carnivorans, and rodents. These rank among the most spectacular examples of evolutionary diversification, but their monophyly and origins are debated. The lack of Tertiary fossils from Madagascar leaves molecular studies as most promising to solve these controversies. We provide a simultaneous reconstruction of phylogeny and age of the four radiations based on a 3.5-kb data set from three nuclear genes (ADRA2B, vWF, and AR). The analysis supports each as a monophyletic clade, sister to African taxa, and thereby identifies four events of colonization out of Africa. To infer the time windows for colonization, we take into account both the divergence from the closest non-insular sister group and the initial intra-insular radiation, which is a novel but conservative approach in studies of the colonization history of Madagascar. We estimate that lemurs colonized Madagascar between 60 million years ago (Mya) (split from lorises) and 50 Mya (lemur radiation) (70-41 Mya taking 95% credibility intervals into account), tenrecs between 42 and 25 Mya (50-20 Mya), carnivorans between 26 and 19 Mya (33-14 Mya), and rodents between 24 and 20 Mya (30-15 Mya). These datings suggest at least two asynchronous colonization events: by lemurs in the Late Cretaceous-Middle Eocene, and by carnivorans and rodents in the Early Oligocene-Early Miocene. The colonization by tenrecs may have taken place simultaneously with either of these two events, or in a third event in the Late Eocene-Oligocene. Colonization by at least lemurs, rodents, and carnivorans appears to have occurred by overseas rafting rather than via a land bridge hypothesized to have existed between 45 and 26 Mya, but the second scenario cannot be ruled out if credibility intervals are taken into account.