Non-equilibrium molecular dynamics (NEMD) simulations have seen increased interest the past few years, especially for molecular systems with periodic forcing by external fields (e.g., in the context of studying the effects of electromagnetic radiation on human body tissues). Recently, an NEMD method with local thermostatting has been proposed that allows for the study of non-equilibrium processes in a statistically reliable and thermodynamically consistent way. In this article, we demonstrate how to construct Markov state models (MSMs) for such NEMD simulations. MSM building is well-established for systems in equilibrium, where MSMs with only a few (macro-)states allow for accurate reproduction of the essential kinetics of the molecular system under consideration. Non-equilibrium MSMs have not yet been established. This article presents a method for constructing such MSMs and illustrates their validity and usefulness through conformation dynamics of an alanine dipeptide in an external electric field.