We study the dissipative dynamics of correlated fermions evolving in presence of a local dephasing bath. To this extent we consider the infinite coordination limit of the corresponding Lindblad master equation, provided by Dynamical Mean-Field Theory for open quantum systems. We solve the resulting quantum impurity problem, describing an Anderson impurity coupled to a local dephasing, using weak-coupling perturbation theory in interaction and dephasing. We show that the dissipative dynamics describes heating towards infinite temperature, with a relaxation rate that depends strongly on interaction. The spectral functions during the heating dynamics are however non-trivial and show an interplay between coherent quasiparticle peak and local dephasing. We then discuss how thermalization towards infinite temperature emerges within DMFT, by solving the impurity problem throughout its self-consistency. We show that thermalization under open quantum system dynamics is qualitatively different from the closed system case. In particular, the thermalization front found in the unitary case is strongly modified by dissipation, reflecting the crossover from unitary to dissipative dynamics in the open system.