Yes, sulfur dioxide (SO$_2$) is indeed a covalent compound. A covalent compound is a chemical compound in which the atoms are held together by covalent bonds, which are formed by the sharing of electron pairs between atoms.

In sulfur dioxide, the sulfur atom and the two oxygen atoms are covalently bonded together by sharing electrons. The sulfur atom has six valence electrons, and each oxygen atom has six valence electrons. In order to achieve a stable electron configuration, the sulfur atom shares two of its valence electrons with each of the oxygen atoms, and each oxygen atom shares two of its valence electrons with the sulfur atom. This results in the formation of two S-O covalent bonds, each consisting of a shared pair of electrons.

As a result of this electron sharing, the sulfur and oxygen atoms in sulfur dioxide are held together by strong covalent forces, which gives rise to the molecule's stability.