A search for double $beta$ decay of dysprosium was realized for the first time with the help of an ultra low-background HP Ge $gamma$ detector. After 2512 h of data taking with a 322 g sample of dysprosium oxide limits on double beta processes in $^{156}$Dy and $^{158}$Dy have been established on the level of $T_{1/2}geq 10^{14}-10^{16}$ yr. Possible resonant double electron captures in $^{156}$Dy and $^{158}$Dy were restricted on a similar level. As a by-product of the experiment we have measured the radioactive contamination of the Dy$_2$O$_3$ sample and set limits on the $alpha$ decay of dysprosium isotopes to the excited levels of daughter nuclei as $T_{1/2}geq 10^{15} - 10^{17}$ yr.