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Recent experimental advances in ultrafast phenomena have triggered renewed interest in the dynamics of correlated quantum systems away from equilibrium. We review non-equilibrium dynamical mean-field theory studies of both the transient and the steady states of a DC field-driven correlated quantum system. In particular, we focus on the non-equilibrium behavior and how it relates to the fluctuation-dissipation theorem. The fluctuation-dissipation theorem emerges as an indicator for how the system thermalizes and for how it reaches a steady state. When the system thermalizes in an infinite temperature steady state it can pass through a succession of quasi-thermal states that approximately obey the fluctuation-dissipation theorem. We also discuss the Wigner distribution and what its evolution tells us about the non-equilibrium many-body problem.