We introduce SHONGLAP, a large annotated open-domain dialogue corpus in Bengali language. Due to unavailability of high-quality dialogue datasets for low-resource languages like Bengali, existing neural open-domain dialogue systems suffer from data scarcity. We propose a framework to prepare large-scale open-domain dialogue datasets from publicly available multi-party discussion podcasts, talk-shows and label them based on weak-supervision techniques which is particularly suitable for low-resource settings. Using this framework, we prepared our corpus, the first reported Bengali open-domain dialogue corpus (7.7k+ fully annotated dialogues in total) which can serve as a strong baseline for future works. Experimental results show that our corpus improves performance of large language models (BanglaBERT) in case of downstream classification tasks during fine-tuning.