Recent progress in manipulating atomic and condensed matter systems has instigated a surge of interest in non-equilibrium physics, including many-body dynamics of trapped ultracold atoms and ions, near-field radiative heat transfer, and quantum friction. Under most circumstances the complexity of such non-equilibrium systems requires a number of approximations to make theoretical descriptions tractable. In particular, it is often assumed that spatially separated components of a system thermalize with their immediate surroundings, although the global state of the system is out of equilibrium. This powerful assumption reduces the complexity of non-equilibrium systems to the local application of well-founded equilibrium concepts. While this technique appears to be consistent for the description of some phenomena, we show that it fails for quantum friction by underestimating by approximately $80 %$ the magnitude of the drag force. Our results show that the correlations among components of driven, but steady-state, quantum systems invalidate the assumption of local thermal equilibrium, calling for a critical reexamination of this approach for describing the physics of non-equilibrium systems.