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Open quantum many body systems describe a number of experimental platforms relevant for quantum simulations, ranging from arrays of superconducting circuits to ultracold atoms in optical lattices. Their theoretical understanding is hampered by their large Hilbert space and by their intrinsic nonequilibrium nature, limiting the applicability of many traditional approaches. In this work we extend the nonequilibrium bosonic Dynamical Mean Field Theory (DMFT) to Markovian open quantum systems. Within DMFT, a Lindblad master equation describing a lattice of dissipative bosonic particles is mapped onto an impurity problem describing a single site embedded in its Markovian environment and coupled to a self-consistent field and to a non-Markovian bath, where the latter accounts for finite lattice connectivity corrections beyond Gutzwiller mean-field theory. We develop a non-perturbative approach to solve this bosonic impurity problem, which treats the non-Markovian bath in a non-crossing approximation. As a first application, we address the steady-state of a driven-dissipative Bose-Hubbard model with two-body losses and incoherent pump. We show that DMFT captures hopping-induced dissipative processes, completely missed in Gutzwiller mean-field theory, which crucially determine the properties of the normal phase, including the redistribution of steady-state populations, the suppression of local gain and the emergence of a stationary quantum-Zeno regime. We argue that these processes compete with coherent hopping to determine the phase transition towards a non-equilibrium superfluid, leading to a strong renormalization of the phase boundary at finite-connectivity. We show that this transition occurs as a finite-frequency instability, leading to an oscillating-in-time order parameter, that we connect with a quantum many-body synchronization transition of an array of quantum van der Pol oscillators.