In 2000, Dzagoev moved to Vladikavkaz to play for a local youth team, Yunost. As their team used to attend Alania Vladikavkaz matches, he became their fan. He describes Valery Gazzaev, an Ossetic footballing legend who later became his coach at CSKA Moscow, as his childhood hero, also stating that Evgeni Aldonin and Frank Lampard were role models for him.

In July 2005, Dzagoev joined the Konoplyov football academy.

From January 2006 to December 2007, Dzagoev played for Akademiya Tolyatti, formerly known as Krylia Sovetov-SOK, of the Russian Second Division. He made his professional debut on 29 April 2006 in a 1–2 home defeat against Tyumen. He appeared in 37 matches and scored six goals for the team.

In November 2007, he became a player of CSKA Moscow.

In October 2008, it was reported that Real Madrid were interested in signing the player, but it was not confirmed. In the 2008 season Dzagoev played 29 matches and scored 13 goals.

Dzagoev scored from a very tight angle during a Champions League match against Manchester United on 4 November 2009, which finished 3–3., and became one of the best player of this game. In 2009 season he played 40 matches and scored 10 goals.

In 2009, ESPN SoccerNet called Dzagoev “one of the hottest prospects on the continent”, commenting that he is “quick, good in the air and with exceptional technical skills”. He has been recognised as the finest in the country in his position, being declared the best left-midfielder in 2013. He was also named as Russia’s “star man” by BBC Sport when they compiled their UEFA EURO 2012 team profiles. When CSKA manager Leonid Slutsky was asked of Dzagoev following a goal against Tottenham Hotspur in 2016, he opined: “it’s obvious Alan Dzagoev is one of the top players in the Russian league”, adding that it was “not surprising that scouts were watching him and it will not be surprising if he continues his career in one of the top British clubs”. Shortly before the last round of international friendlies in the run-up to the 2018 FIFA World Cup, The Guardian branded Dzagoev as one of “three Russia players with the capacity to harm top-level opponents”.

On 2 December 2010, Dzagoev provided an assist for Sekou Oliseh and later added a cool finish as CSKA defeated Lausanne-Sports 5–1 in their penultimate group game, securing first place in Group F of the Europa League. In the final group game against Sparta Prague on 15 December, Dzagoev scored the opening goal as CSKA dropped their first points of their European campaign, succumbing to a 1–1 draw.

He scored his first international goal on 8 October 2010 in a 2–3 away victory over the Republic of Ireland in the qualifying round of UEFA Euro 2012. He was confirmed for the finalized squad for Euro 2012 on 25 May 2012. Dzagoev scored two goals in Russia’s opening game of the Euro 2012 tournament against the Czech Republic on 8 June 2012, a 4–1 victory, in which he was named Man of the Match. Dzagoev added his third goal of the tournament in his side’s second game against Poland, earning a 1–1 draw for his side. With three goals scored, he finished the tournament as joint-top scorer, alongside Cristiano Ronaldo, Fernando Torres, Mario Gómez, Mario Balotelli, and Mario Mandžukić.

On 24 September 2011, Dzagoev scored the winning goal of a 3–1 Premier League victory over Volga Nizhny Novgorod. Three days later, Dzagoev scored a 45th-minute goal against Internazionale and a later strike from Vágner Love put the hosts level, until a late goal from Mauro Zárate gave the Italians a 3–2 victory. Dzagoev provided the cross from which CSKA debutant Pontus Wernbloom netted the equalizer in their 1–1 draw against Real Madrid in their first leg Round of 16 clash on 21 February 2012. In the 2012–13 season CSKA won the Russian Premier League title and Dzagoev was considered by some to be the best Left Midfielder. In 2013/2014 season CSKA became the champion of Russian Premier League again and Dzagoev played 23 matches and scored 3 goals in all competitions.

In July 2012, Dzagoev married Zarema Abayeva, who is originally from North Ossetia-Alania’s capital, Vladikavkaz. They have two children – Elana (born 2013) and Khetag (born 2016).

On 2 June 2014, he was included in Russia’s squad for the 2014 FIFA World Cup . Dzagoev appeared as a substitute in all three of the team’s matches as Russia were eliminated at the group stage.

The 2015–16 season became one of the best in his career. On 21 May 2016 in the last match of Premier League with Rubin Dzagoev scored the winning goal and CSKA won another Russian Premier League title. In this season he played 43 matches, scores 8 goals and 11 assists in all club competitions.

Dzagoev was included in Russia’s squad for UEFA Euro 2016; however he withdrew due to injury on 22 May 2016. He was excluded from the nation’s squad for the FIFA Confederations Cup exactly a year later, again with an injury.

On 11 May 2018, he was included in Russia’s extended 2018 FIFA World Cup squad. On 3 June 2018, he was included in the finalized World Cup squad. He featured in the opening match of the tournament against Saudi Arabia but was withdrawn through injury after just 24 minutes. He recovered from injury to come on as a substitute in extra time against Croatia in the quarterfinals. He took a free kick that went brilliantly on to the head of Mariò Fernandes that was Russia’s 2–2 equalizer with 5 minutes left to play in extra time. Dzagoev converted his shot in the eventual penalty shoot-out, but Russia lost to Croatia in the end of it.

On 21 June 2019, Dzagoev signed a new two-year contract with CSKA Moscow, keeping him at the club until the summer of 2021.