Conversational recommender systems (CRS) aim to recommend high-quality items to users through interactive conversations. To develop an effective CRS, the support of high-quality datasets is essential. Existing CRS datasets mainly focus on immediate requests from users, while lack proactive guidance to the recommendation scenario. In this paper, we contribute a new CRS dataset named TG-ReDial (Recommendation through Topic-Guided Dialog). Our dataset has two major features. First, it incorporates topic threads to enforce natural semantic transitions towards the recommendation scenario. Second, it is created in a semi-automatic way, hence human annotation is more reasonable and controllable. Based on TG-ReDial, we present the task of topic-guided conversational recommendation, and propose an effective approach to this task. Extensive experiments have demonstrated the effectiveness of our approach on three sub-tasks, namely topic prediction, item recommendation and response generation. TG-ReDial is available at bluehttps://github.com/RUCAIBox/TG-ReDial.