On 15 May 2018, Bjelica signed a two-year contract with the Croatian champion Dinamo Zagreb, being appointed as their head coach. Four days later, he celebrated winning the league title, while on 23 May he won the Croatian Cup. On 8 November, defeating Spartak Trnava, Dinamo managed to qualify for the 2018–19 Europa League knockout phase. On 18 September 2019, Bjelica led Dinamo in the club's inaugural match in the UEFA Champions League campaign after two seasons, with a 4–0 home win against Atalanta. On 16 April 2020, following the sacking of the entire coaching staff by the club, it was announced that Dinamo terminated the contract with Bjelica.