The remarkable 1994 discovery of the Sagittarius dwarf galaxy (Sgr) revealed that, together with the Magellanic Clouds, there are at least three major dwarf galaxies, each with a total mass of order 1010-1011 M☉, falling onto the Galaxy in the present epoch. Beyond a Galactic radius of 300 kpc, dwarfs tend to retain their gas. At roughly 50 kpc, the Magellanic Clouds have experienced substantial gas stripping as evidenced by the Magellanic Stream which extends from them. Since Sgr experienced star formation long after it fell into the Galaxy, it is interesting to explore just how and when this dwarf lost its gas. To date, there has been no definitive detection of an associated gas component. We revisit recent simulations of the stellar and dark matter components of Sgr but, for the first time, include gas that is initially bound to the infalling galaxy. We find that the gas stripping was 30-50 per cent complete at its first disc crossing ∼2.7 Gyr ago, then entirely stripped at its last disc crossing ∼1 Gyr ago. Our timeline is consistent with the last substantial burst of star formation in Sgr, which occurred about the time of the last disc crossing. We discuss the consequences of gas stripping and conclude that the vast majority of the stripped gas was fully settled onto the Galaxy by ∼300 Myr ago. It is highly unlikely that any of the high- or intermediate-velocity clouds have a direct association with the Sgr dwarf.