We present DREAM, the first dialogue-based multiple-choice reading comprehension data set. Collected from English as a Foreign Language examinations designed by human experts to evaluate the comprehension level of Chinese learners of English, our data set contains 10,197 multiple-choice questions for 6,444 dialogues. In contrast to existing reading comprehension data sets, DREAM is the first to focus on in-depth multi-turn multi-party dialogue understanding. DREAM is likely to present significant challenges for existing reading comprehension systems: 84% of answers are non-extractive, 85% of questions require reasoning beyond a single sentence, and 34% of questions also involve commonsense knowledge. We apply several popular neural reading comprehension models that primarily exploit surface information within the text and find them to, at best, just barely outperform a rule-based approach. We next investigate the effects of incorporating dialogue structure and different kinds of general world knowledge into both rule-based and (neural and non-neural) machine learning-based reading comprehension models. Experimental results on the DREAM data set show the effectiveness of dialogue structure and general world knowledge. DREAM is available at https://dataset.org/dream/ .