We consider the sensitivity of the DUNE experiment to a heavy neutral lepton, HNL (also known as sterile neutrino) in the mass range from a few MeV to a few GeV, interacting with the Standard Model via a transition magnetic moment to the active neutrinos, the so-called dipole portal. The HNL is produced via the up-scattering of active neutrinos, and the subsequent decay inside the detector provides a single-photon signal. We show that the tau-neutrino dipole portal can be efficiently probed at the DUNE far detector, using the tau-neutrino flux generated by neutrino oscillations, while the near detector provides better sensitivity to the electron- and muon-neutrino dipole portal. DUNE will be able to explore large regions of currently unconstrained parameter space and has comparable sensitivity to other planned dedicated experiments, such as SHiP. We also comment briefly on the sensitivity to pure HNL mixing with the tau neutrino at the DUNE far detector.