We present the first dynamical implementation of the combined GW and dynamical mean-field scheme ("GW+DMFT") for first-principles calculations of the electronic properties of correlated materials. The application to the ternary transition metal oxide SrVO3 demonstrates that this scheme inherits the virtues of its two parent theories: a good description of the local low-energy correlation physics encoded in a renormalized quasi-particle band structure, spectral weight transfer to Hubbard bands, and the physics of screening driven by long-range Coulomb interactions. Our data is in good agreement with available photoemission and inverse photoemission spectra; our analysis leads to a reinterpretation of the commonly accepted "threepeak structure" as originating from orbital effects rather than from the electron addition peak within the t2g manifold.