Dengue dynamics are driven by complex interactions between hosts, vectors and viruses that are influenced by environmental and climatic factors. Several studies examined the role of El Niño Southern Oscillation (ENSO) in dengue incidence. However, the role of Indian Ocean Dipole (IOD), a coupled ocean atmosphere phenomenon in the Indian Ocean, which controls the summer monsoon rainfall in the Indian region, remains unexplored. Here, we examined the effects of ENSO and IOD on dengue incidence in Bangladesh. According to the wavelet coherence analysis, there was a very weak association between ENSO, IOD and dengue incidence, but a highly significant coherence between dengue incidence and local climate variables (temperature and rainfall). However, a distributed lag nonlinear model (DLNM) revealed that the association between dengue incidence and ENSO or IOD were comparatively stronger after adjustment for local climate variables, seasonality and trend. The estimated effects were nonlinear for both ENSO and IOD with higher relative risks at higher ENSO and IOD. The weak association between ENSO, IOD and dengue incidence might be driven by the stronger effects of local climate variables such as temperature and rainfall. Further research is required to disentangle these effects.