Datasets should be cited, just like scholarly papers and other resources you use:

• It's easy: the steps to cite them are exactly the same as how you would cite a scholarly paper.
• Look for a DOI if available.
• Ensure your citation manager gathered the metadata and formatted it correctly.
• Double-check your specific citation style.

O’Donohue, W. (2017). Content analysis of undergraduate psychology textbooks (ICPSR 36966; Version V1) [Data set]. ICPSR. https://doi.org/10.3886/ICPSR36966.v1

• Parenthetical citation: (O’Donohue, 2017)
• Narrative citation: O’Donohue (2017)

(Example from Data Set References on the APA Style Guide)