Non-equilibrium phenomena in strongly correlated lattice systems coupling to dissipative environment are studied. Novel physics arises when strongly correlated system is driven out of equilibrium by external fields. Dramatic changes in physical properties, such as conductivity, are empirically observed in strongly correlated materials under high electric field. In particular, electric-field driven metal-insulator transitions are well-known as resistive switching effect in a variety of materials, such as VO 2 , V 2 O 3 and other transition metal oxides. To satisfactorily explain both the phenomenology and its underlying mechanism, it is required to model microscopically the out-of-equilibrium dissipative lattice system of interacting electrons. In this thesis, we developed a systematic method of modeling non-equilibrium steady state of dissipative lattice system by means of Non-equilibrium Green's function and Dynamical Mean Field Theory. We firstly establish a "minimum model" to formulate the strongfield transport in non-interacting dissipative electron lattice. This model is exactly soluble and convenient for discussing energy dissipation and steady-state properties. Non-equilibrium electron distribution and effective temperature naturally emerge as a result of competing electric power and Joule dissipation. Building on this model, we explore the non-equilibrium phase transition in dissipative Hubbard model. Our result verifies the importance of thermal effect in the non-equilibrium interacting system. Correlated metallic systems undergo metal-insulator transition at fields much iii At the very very beginning, I acknowledge my family, my parents Xingwen and Yanjun, my uncle Shaojun and aunt Xiaoling, my brother Junjie, my grandparents Cunliang, Gailing, Dongping and all others who have raised me, helped me throughout my life and ignited my passions in science. Without them, I cannot imagine how I can reach this point of life. I particularly acknowledge my wife Meng who has a husband desperately trying to express his love from the other side of this planet through the two video calls everyday for the long six years 1 . I acknowledge my advisor Jong Han, who has led and assisted me to explore the world of physics and scientific research. As a knowledgeable and accessible advisor, Jong has taught me a great lot, particularly the spirit of sticking to the high standard of good scientific research. I highly appreciate his guidance throughout my PhD research. Beginning as a first-year PhD student without even knowing much about many-body physics, I could have never understood so much physics without the kind assistance of Jong. I acknowledge my collaborators, particularly Dr. Camille Aron and Dr. Gabriel Kotliar. The collaboration has always been very enjoyable. The thesis would be impossible without their valuable comments. Throughout the many years, discussions with Gabi and Camille have greatly improved my understanding of condensed matter 1 I guess I should also acknowledge Tencent and their WeChat team v physics ...