Of course, not necessarily in that order. Usually, though, I have the plot first, then the setting, then the characters slowly flesh themselves out for me as I write. Then I jot down little things about them, to remind myself that Dave in the story doesn’t eat meat (don’t want him order filet mignon in a restaurant).
This time though I have three of the main characters pictured. I can see them. I know what they’re like. What they like. I have the plot and even a few sub-plots. Of course, this could all change in a snap. My problem is I don’t have the setting. Without that, where do the characters move around to? Someone on a writer’s board (half-jokingly) suggested Iceland. Hey, maybe that’d work. I have a friend who lived there for several years. Or, if not Iceland, an island above latitude 45 degree. Cold with a rocky shoreline.
What it all comes down to in writing is that not one way always works. And you have to do what works for you with that particular manuscript.