We study the out-of-equilibrium dynamics of a Sachdev-Ye-Kitaev (SYK) model, N fermions with a q-body interaction of infinite range, coupled to a Markovian environment.Close to the steady state, the real-time Lindbladian dynamics of this system at infinite temperature is identical to the near-zero-temperature dynamics in Euclidean time of a two-site non-Hermitian SYK with inter-site coupling whose gravity dual has been recently related to wormhole configurations. We show that the saddle-point equations in the real-time formulation are identical to those in Euclidean time. Indeed, an explicit calculation of Green's functions at low temperature, numerical for q = 4 and analytical for q = 2 and large q, illustrates this equivalence. Only for very strong coupling does the decay rate approach the linear dependence on the coupling characteristic of a dissipation-driven approach to the steady state. For q > 2, we identify a potential gravity dual of the real-time dissipative SYK model: a double-trumpet configuration in a near-de Sitter space in two dimensions with matter. This configuration, which we term a Keldysh wormhole, is responsible for a finite decay rate even in the absence of coupling to the environment.