We perform combined density functional and dynamical mean-field calculations to study the pyrochlore iridates Lu2Ir2O7, Y2Ir2O7, and Eu2Ir2O7. Both single-site and cluster dynamical mean-field calculations are performed and spin-orbit coupling is included. Paramagnetic metallic phases, antiferromagnetic metallic phases with tilted Weyl cones, and antiferromagnetic insulating phases are found. The magnetic phases display all-in/ all-out magnetic ordering, consistent with previous studies. Unusually for electronically three-dimensional materials, the single-site dynamical mean-field approximation fails to reproduce qualitative material trends, predicting in particular that the paramagnetic phase properties of Y2Ir2O7 and Eu2Ir2O7 are almost identical, although in experiments the Y compound has a much higher resistance than the Eu compound. This qualitative failure is attributed to the importance of intersite magnetic correlations in the physics of these materials.