Large language models are known to produce hallucinations - factually incorrect or fabricated information - which poses significant challenges for many natural language processing applications, such as dialogue systems. As a result, detecting hallucinations has become a critical area of research. Current approaches to hallucination detection in dialogue systems primarily focus on verifying the factual consistency of generated responses. However, these responses often contain a mix of accurate, inaccurate or non-verifiable facts, making the use of a single factual label overly simplistic and coarse-grained. In this paper, we introduce a benchmark, FineDialFact, for fine-grained dialogue fact verification, which involves verifying atomic facts extracted from dialogue responses. To support this, we construct a dataset based on publicly available dialogue datasets and evaluate it using various baseline methods. Experimental results demonstrate that methods incorporating Chain-of-Thought reasoning can enhance performance in dialogue fact verification. Despite this, the best F1-score achieved on the HybriDialogue, an open-domain dialogue dataset, is only 0.74, indicating that the benchmark remains a challenging task for future research. We release our dataset and code at https://github.com/XiangyanChen/FineDialFact.