The elpasolite compound lead magnesium tellurate undergoes a structural phase transition at about 194 K. This phase transition has been characterized by calorimetry, by dielectric permittivity measurements and by Raman spectroscopy. The main features of the Raman spectra, collected between 35 K and room temperature, are consistent with group-theoretical predictions, though the onset of the incommensurate superstructure gives rise to a very complex splitting of the cubic lines. From the comparison between these results and the structures, it is concluded that the phase transition is only weakly first order and has a mainly displacive character. The thermal evolution of the Raman spectra and of the dielectric permittivity support the existence of an additional phase transition at about 142 K.