List<MyType> items = new List<MyType>()
foreach(var value in myDico.Values)
items.AddRange(value);
The problem is that every key in your dictionary has a list of instances as value. Your code would work, if each key would have exactly one instance as value, as in the following example:
Dictionary<string, MyType> myDico = GetDictionary();
List<MyType> items = new List<MyType>(myDico.Values);
Going further on the answer of Slaks, if one or more lists in your dictionary is null, a System.NullReferenceException will be thrown when calling ToList(), play safe:
List<MyType> allItems = myDico.Values.Where(x => x != null).SelectMany(x => x).ToList();