Do mycorrhiza only form with angiosperm?
Mycorrhiza refers to any fungi that forms a symbiotic relationship with a plant. There are many different species, and they are necessary for healthy plant growth in ~70%-80% of vascular plant species with representatives from more than ~90% of plant families. Needless to say, mycorrhiza associations with plants are very common.

What you may be thinking of is rhizobia, which are not as ubiquitous.  Rhyzobia are soil bacteria associated with legumes (peas, soybeans, clover, lentils, etc.). Rhizobia fix nitrogen for the legume, and the legume forms root nodules where the rhizobia live. The nodules provide an ideal location for the rhizobia to live and thrive. This relationship has only been observed in legumes (scientific name: Fabaceae).

In summary:
Both mycorrhiza and rhizobia form Symbiotic relationships with plants. Mycorrhiza are fungus that form relationships with most species of plants. Rhizobia are bacteria that form relationships only with plants in the legume family.