The concept of Koszul differential graded (DG for short) algebra is introduced in [8]. Let A be a Koszul DG algebra. If the Ext-algebra of A is finite-dimensional, i.e., the trivial module A k is a compact object in the derived category of DG A-modules, then it is shown in [8] that A has many nice properties. However, if the Ext-algebra is infinite-dimensional, little is known about A. As shown in [15] (see also Proposition 2.2), A k is not compact if H(A) is finite-dimensional. In this paper, it is proved that the Koszul duality theorem also holds when H(A) is finite-dimensional by using Foxby duality. A DG version of the BGG correspondence is deduced from the Koszul duality theorem.