In the below layout example, I have created a dialog box with RecyclerView. Here I have added first RecyclerView dependency to Grandle file. Now in next step I have Created a Main RelativeLayout. All layout added in Main RelativeLayout then created LinearLayout, TextView, ImageView, RecyclerView and button . You can see below program it will clearly describe you to add RecyclerView in dialog box.

Step(1)Add the dependency to your Gradle file-

dependencies {
    ...
    compile "com.android.support:recyclerview-v7:23.0.1"
} 


Step(2)activity_main.xml layout-
<?xml version="1.0" encoding="utf-8"?>

<RelativeLayout xmlns:android="http://schemas.android.com/apk/res/android"
    android:layout_width="340dp"
    android:layout_height="wrap_content">

    <RelativeLayout
        android:layout_width="match_parent"
        android:layout_height="match_parent"
        android:layout_marginLeft="18dp"
        android:layout_marginRight="10dp"
        android:layout_marginTop="15dp"
        android:layout_marginBottom="10dp"
        android:background="@mipmap/background">
        <LinearLayout
            android:layout_width="match_parent"
            android:layout_height="wrap_content"
            android:layout_weight="1"
            android:id="@+id/layout"
            android:orientation="vertical">
            <TextView
                android:layout_width="match_parent"
                android:layout_height="wrap_content"
                android:text="Select Category"
                android:gravity="center"
                android:textSize="18sp"
                android:textColor="@color/font_color"
                android:layout_marginTop="20dp"/>
            <ImageView
                android:layout_width="match_parent"
                android:layout_height="0.5dp"
                android:src="@color/font_color"
                android:layout_marginTop="10dp"/>
            <android.support.v7.widget.RecyclerView
                android:id="@+id/my_recycler_view"
                android:layout_width="match_parent"
                android:layout_height="match_parent"></android.support.v7.widget.RecyclerView>



        </LinearLayout>
        <Button

            android:id="@+id/signUpButton"
            android:layout_marginLeft="20dp"
            android:layout_marginRight="20dp"
            android:layout_width="match_parent"
            android:layout_height="wrap_content"
            android:layout_alignParentBottom="true"
            android:layout_marginBottom="40dp"
            android:background="@drawable/login_btn"
            android:text="Done"
            android:textSize="18sp"
            android:textColor="@color/font_color"/>

    </RelativeLayout>
    <LinearLayout
        android:id="@+id/llTop"
        android:layout_width="wrap_content"
        android:layout_height="wrap_content"
        android:layout_alignParentLeft="true"
        android:layout_alignParentTop="true"
        android:orientation="vertical">

        <ImageView
            android:id="@+id/btnCancel"
            android:layout_width="wrap_content"
            android:layout_height="wrap_content"
            android:background="@null"
            android:visibility="visible"
            android:src="@mipmap/ic_close_circle_outline_white_36dp"/>



    </LinearLayout>
</RelativeLayout>