The number of dengue cases has been increasing on a global level in recent years, and particularly so in Malaysia, yet little is known about the effects of weather for identifying the short-term risk of dengue for the population. The aim of this paper is to estimate the weather effects on dengue disease accounting for non-linear temporal effects in Selangor, Kuala Lumpur and Putrajaya, Malaysia, from 2008 to 2010. We selected the weather parameters with a Poisson generalized additive model, and then assessed the effects of minimum temperature, bi-weekly accumulated rainfall and wind speed on dengue cases using a distributed non-linear lag model while adjusting for trend, day-of-week and week of the year. We found that the relative risk of dengue cases is positively associated with increased minimum temperature at a cumulative percentage change of 11.92% (95% CI: 4.41-32.19), from 25.4 °C to 26.5 °C, with the highest effect delayed by 51 days. Increasing bi-weekly accumulated rainfall had a positively strong effect on dengue cases at a cumulative percentage change of 21.45% (95% CI: 8.96, 51.37), from 215 mm to 302 mm, with the highest effect delayed by 26-28 days. The wind speed is negatively associated with dengue cases. The estimated lagged effects can be adapted in the dengue early warning system to assist in vector control and prevention plan.