Override dialog onBackPressed()?

You can use setOnCancelListener:

dialog.setOnCancelListener(new DialogInterface.OnCancelListener()
{
    @Override
    public void onCancel(DialogInterface dialog)
    {
         MyActivity.this.finish();
    }
});

You need to finish only your activity. Dialog will be dismissed automatically.

dialog.setOnKeyListener(new DialogInterface.OnKeyListener() {
                    @Override
                    public boolean onKey(DialogInterface dialog, int keyCode, KeyEvent event) {
                        if (keyCode == KeyEvent.KEYCODE_BACK) {
                               dialog.cancel();
                               return true;
                            }
                         return false;
                    }
                })