How do I map lists of nested objects with Dapper

No need for lookup Dictionary

var coursesWithLocations = 
    conn.Query<Course, Location, Course>(@"
        SELECT c.*, l.*
        FROM Course c
        INNER JOIN Location l ON c.LocationId = l.Id                    
        ", (course, location) => {
            course.Locations = course.Locations ?? new List<Location>();
            course.Locations.Add(location); 
            return course;
        }).AsQueryable();

Alternatively, you can use one query with a lookup:

var lookup = new Dictionary<int, Course>();
conn.Query<Course, Location, Course>(@"
    SELECT c.*, l.*
    FROM Course c
    INNER JOIN Location l ON c.LocationId = l.Id                    
    ", (c, l) => {
        Course course;
        if (!lookup.TryGetValue(c.Id, out course))
            lookup.Add(c.Id, course = c);
        if (course.Locations == null) 
            course.Locations = new List<Location>();
        course.Locations.Add(l); /* Add locations to course */
        return course;
     }).AsQueryable();
var resultList = lookup.Values;

See here https://www.tritac.com/blog/dappernet-by-example/

I know I'm really late to this, but there is another option. You can use QueryMultiple here. Something like this:

var results = cnn.QueryMultiple(@"
    SELECT * 
      FROM Courses 
     WHERE Category = 1 
  ORDER BY CreationDate
          ; 
    SELECT A.*
          ,B.CourseId 
      FROM Locations A 
INNER JOIN CourseLocations B 
        ON A.LocationId = B.LocationId 
INNER JOIN Course C 
        ON B.CourseId = B.CourseId 
       AND C.Category = 1
");

var courses = results.Read<Course>();
var locations = results.Read<Location>(); //(Location will have that extra CourseId on it for the next part)
foreach (var course in courses) {
   course.Locations = locations.Where(a => a.CourseId == course.CourseId).ToList();
}

Dapper is not a full blown ORM it does not handle magic generation of queries and such.

For your particular example the following would probably work:

Grab the courses:

var courses = cnn.Query<Course>("select * from Courses where Category = 1 Order by CreationDate");

Grab the relevant mapping:

var mappings = cnn.Query<CourseLocation>(
   "select * from CourseLocations where CourseId in @Ids", 
    new {Ids = courses.Select(c => c.Id).Distinct()});

Grab the relevant locations

var locations = cnn.Query<Location>(
   "select * from Locations where Id in @Ids",
   new {Ids = mappings.Select(m => m.LocationId).Distinct()}
);

Map it all up

Leaving this to the reader, you create a few maps and iterate through your courses populating with the locations.

Caveat the in trick will work if you have less than 2100 lookups (Sql Server), if you have more you probably want to amend the query to select * from CourseLocations where CourseId in (select Id from Courses ... ) if that is the case you may as well yank all the results in one go using QueryMultiple