Recent work on language modelling has shifted focus from count-based models to neural models. In these works, the words in each sentence are always considered in a left-to-right order. In this paper we show how we can improve the performance of the recurrent neural network (RNN) language model by incorporating the syntactic dependencies of a sentence, which have the effect of bringing relevant contexts closer to the word being predicted. We evaluate our approach on the Microsoft Research Sentence Completion Challenge and show that the dependency RNN proposed improves over the RNN by about 10 points in accuracy. Furthermore, we achieve results comparable with the state-of-the-art models on this task.