Background: The lava mouse, Malpaisomys insularis, was endemic to the Eastern Canary islands and became extinct at the beginning of the 14th century when the Europeans reached the archipelago. Studies to determine Malpaisomys' phylogenetic affinities, based on morphological characters, remained inconclusive because morphological changes experienced by this insular rodent make phylogenetic investigations a real challenge. Over 20 years since its first description, Malpaisomys' phylogenetic position remains enigmatic. Methodology/Principal Findings: In this study, we resolved this issue using molecular characters. Mitochondrial and nuclear markers were successfully amplified from subfossils of three lava mouse samples. Molecular phylogenetic reconstructions revealed, without any ambiguity, unsuspected relationships between Malpaisomys and extant mice (genus Mus, Murinae). Moreover, through molecular dating we estimated the origin of the Malpaisomys/mouse clade at 6.9 Ma, corresponding to the maximal age at which the archipelago was colonised by the Malpaisomys ancestor via natural rafting. Conclusion/Significance: This study reconsiders the derived morphological characters of Malpaisomys in light of this unexpected molecular finding. To reconcile molecular and morphological data, we propose to consider Malpaisomys insularis as an insular lineage of mouse.