To designate the proper iTunes Library xml file, go to [Preferences] -> [Advanced] -> [Database] and select the xml file for the iTunes Library.

iTunes Library may not be always created when using iTunes12.2 and later.
From iTunes -> Preferences -> Advanced, tick the box of “Share iTunes Library XML with other applications” to enable this function. (Mac: [iTunes] -> [Preferences])

Then, please reboot both iTunes and rekordbox after shutting them down.