We study dynamical phase transitions (DPT) in the driven and damped Dicke model, realizable for example by a driven atomic ensemble collectively coupled to a damped cavity mode. These DPTs are characterized by nonanalyticities of certain observables, primarily the overlap of time evolved and initial state. Even though the dynamics is dissipative, this phenomenon occurs for a wide range of parameters and no fine-tuning is required. Focusing on the state of the “atoms” in the limit of a bad cavity, we are able to asymptotically evaluate an exact path integral representation of the relevant overlaps. The DPTs then arise by minimization of a certain action function, which is related to the large deviation theory of a classical stochastic process. Finally, we present a scheme which allows a measurement of the DPT in a cavity-QED setup.