The local-density approximation combined with the dynamical mean-field theory (LDA+DMFT) is applied to the paramagnetic phase of light actinide dioxides: UO2, NpO2, and PuO2. The calculated band gaps and the valence-band electronic structure are in a very good agreement with the optical absorption experiments as well as with the photoemission spectra. The hybridization of the actinide 5f shell with the 2p states of oxygen is found to be relatively large, it increases the filling of the 5f orbitals from the nominal ionic configurations with two, three, and four electrons to nearly half-integer values 2.5, 3.4 and 4.4. The large hybridization leaves an imprint also on the core-level photoemission spectra in the form of satellite peaks. It is demonstrated that these satellites are accurately reproduced by the LDA+DMFT calculations.