The effect of PT-symmetry breaking in coupled systems with balanced gain and loss has recently attracted considerable attention and has been demonstrated in various photonic, electrical and mechanical systems in the classical regime. Here we generalize the definition of PT symmetry to finite-dimensional open quantum systems, which are described by a Markovian master equation. Specifically, we show that the invariance of this master equation under a certain symmetry transformation implies the existence of stationary states with preserved and broken parity symmetry. As the dimension of the Hilbert space grows, the transition between these two limiting phases becomes increasingly sharp and the classically expected PT-symmetry breaking transition is recovered. This quantum-to-classical correspondence allows us to establish a common theoretical framework to identify and accurately describe PT-symmetry breaking effects in a large variety of physical systems, operated both in the classical and quantum regimes.