0.5 to 5.0 wt.% Dy2O3 was in-situ reacted with Mg + B to form pinned MgB2. While Tc remained largely unchanged, Jc was strongly enhanced. The best sample (only 0.5 wt.% Dy2O3) had a Jc of 6.5 x 10^5 A/cm^2 at 6K, 1T and 3.5 x 10^5 A/cm^2 at 20K, 1T, around a factor of 4 higher compared to the pure sample, and equivalent to hot-pressed or nano-Si added MgB2 at below 1T. Even distributions of nano-scale precipitates of DyB4 and MgO were observed within the grains. The room temperature resistivity decreased with Dy2O3 indicative of improved grain connectivity.