We investigate non-equilibrium phase transitions for driven atomic ensembles, interacting with a cavity mode, coupled to a Markovian dissipative bath. In the thermodynamic limit and at low-frequencies, we show that the distribution function of the photonic mode is thermal, with an effective temperature set by the atom-photon interaction strength. This behavior characterizes the static and dynamic critical exponents of the associated superradiance transition. Motivated by these considerations, we develop a general Keldysh path integral approach, that allows us to study physically relevant nonlinearities beyond the idealized Dicke model. Using standard diagrammatic techniques, we take into account the leading-order corrections due to the finite number of atoms N. For finite N, the photon mode behaves as a damped, classical non-linear oscillator at finite temperature. For the atoms, we propose a Dicke action that can be solved for any N and correctly captures the atoms' depolarization due to dissipative dephasing.