We present a machine sound dataset to benchmark domain generalization techniques for anomalous sound detection (ASD). To handle performance degradation caused by domain shifts that are difficult to detect or too frequent to adapt, domain generalization techniques are preferred. However, currently available datasets have difficulties in evaluating these techniques, such as limited number of values for parameters that cause domain shifts (domain shift parameters). In this paper, we present the first ASD dataset for the domain generalization techniques, called MIMII DG. The dataset consists of five machine types and three domain shift scenarios for each machine type. We prepared at least two values for the domain shift parameters in the source domain. Also, we introduced domain shifts that can be difficult to notice. Experimental results using two baseline systems indicate that the dataset reproduces the domain shift scenarios and is useful for benchmarking domain generalization techniques.