Someone asked me to write screenplay and not the script, hence I want to clarify.
Yes, dialogue is included in a screenplay.
The word "screenplay" is movie-speak for "script", and it's exactly the equivalent of a play's script. (The TV version of "script" is "teleplay".)
In addition to dialogue, A screenplay includes actions and descriptions. Sometimes it's appropriate to include scene transitions and camera directions.
There are a few specific, accepted ways to format a screenplay. Writing software like Final Draft and Scrivener will include screenplay templates.
If you want to get really technical, a script is any written work with a story, dialogue, and a setting. A screenplay is a type of script, so it would include the story, dialogue, and setting, like this example: https://www.writersstore.com/how-to-write-a-screenplay-a-guide-to-scriptwriting/