Product->getCategoryList() - работа со связанными списками.

models\Category.php

<?php

namespace common\models;

use yii\db\ActiveRecord;

class Category extends ActiveRecord
{
    /**
     * @return array
     */
    public static function getList()
    {
        return static::find()
            ->select(['name', 'id'])
            ->indexBy('id')
            ->column();
    }
}

models\Products.php

<?php

namespace common\models;

use yii\db\ActiveRecord;

class Product extends ActiveRecord
{
    public function rules()
    {
        return [
            // category_id может быть выбран только из списка getCategoryList()
            // который предаставляется моделью
            [['category_id'], 'in', 'range' => array_keys($this->getCategoryList())]
        ];
    }
    
    /**
     * @return array
     */
    public function getCategoryList()
    {
        return Category::getList();
    }

    /**
     * @return \yii\db\ActiveQuery
     */
    public function getCategories()
    {
        return $this->hasOne(Category::className(), ['id' => 'category_id']);
    }
}

models\ProductsSearch.php

<?php

namespace common\models;

use yii\base\Model;

class ProductSearch extends Model
{
    /**
     * @var int
     */
    public $category_id;
  
    /**
     * @var Product
     */
    private $model;

    /**
     * @return Product
     */
    protected function getModel()
    {
        if ($this->model === null) {
            $this->model = new Product();
        }
        return $this->model;
    }

    /**
     * @return array
     */
    public function rules()
    {
        return [
            [['category_id'], 'integer'],
        ];
    }
    
    /**
     * @return array
     */
    public function getCategoryList()
    {
       return $this->getModel()->getCategoryList() + ['' => 'All'];
    }
}

views\_form.php

<?php
/**
 * @var $this yii\web\View
 * @var $model common\models\Product
 */

use yii\helpers\Html;
use yii\widgets\ActiveForm;

?>

<div>
    <?php $form = ActiveForm::begin(); ?>

    <?= $form->field($model, 'category_id')->dropDownList($model->getCategoryList()) ?>

    <div class="form-group">
        <?= Html::submitButton($model->isNewRecord ? 'Create' : 'Update', ['class' => $model->getIsNewRecord() ? 'btn btn-success' : 'btn btn-primary']) ?>
    </div>

    <?php ActiveForm::end(); ?>
</div>

views\index.php

<?php
/**
 * @var $this yii\web\View
 * @var $searchModel common\models\ProductSearch
 * @var $dataProvider yii\data\ActiveDataProvider
 */

use yii\grid\GridView;

?>

<?= GridView::widget([
    'dataProvider' => $dataProvider,
    'filterModel' => $searchModel,
    'columns' => [
        // ...
        [
            'attribute' => 'category_id',
            'filter' => $searchModel->getCategoryList(), // получаем необходимые данные из ProductsSearch !!!
        ],
        // ...
    ],
]); ?>