Traditional root cannot be achieved for all the reasons stated by others. However, there exists a transitory solution.

Using build 1028 of Nougat beta you can gain temporary access to the otherwise hidden system files. This may allow you to perform transplant surgery for the files needed to support your controllers.

Deep discussion at https://forum.xda-developers.com/android-stick--console-computers/amlogic/s905x-help-mi-box-android-tv-mdz-16-ab-t3477286 contains all you need to know to get temp root. It vanishes on reboot, but by then your dualshock files are safely installed.

Good luck

Bootloader is locked.

Don't Xiaomi sell a Bluetooth control pad that just connects with this.

That would be a lot easier.

Just get a bluetooth controller. Ask around on /r/xiaomi lots of people have suggestions. I got a GameSir G4 for less than $20 via Aliexpress.

buy xbox one controller (bt version), it works with mi box

It is possible but you have a 99% chance of permeantly bricking the box. I wouldn't recommend it mine got bricked for months until I could get it fixed.