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We study the thermoelectric conductivities of a strongly correlated system in the presence of a magnetic field by the gauge/gravity duality. We consider a class of Einstein-Maxwell-Dilaton theories with axion fields imposing momentum relaxation. General analytic formulas for the direct current(DC) conductivities and the Nernst signal are derived in terms of the black hole horizon data. For an explicit model study, we analyse in detail the dyonic black hole modified by momentum relaxation. In this model, for small momentum relaxation, the Nernst signal shows a bell-shaped dependence on the magnetic field, which is a feature of the normal phase of cuprates. We compute all alternating current(AC) electric, thermoelectric, and thermal conductivities by numerical analysis and confirm that their zero frequency limits precisely reproduce our analytic DC formulas, which is a non-trivial consistency check of our methods. We discuss the momentum relaxation effects on the conductivities including cyclotron resonance poles.