Dynamical localization prevents driven atomic systems from fast fragmentation by hampering the excitation process. We present numerical simulations within a collinear model of microwave-driven helium Rydberg atoms and prove that dynamical localization survives the impact of electron-electron interaction, even for doubly excited states in the presence of fast autoionization. We conclude that the effect of electron-electron repulsion on localization can be described by an appropriate rescaling of the atomic level density and of the external field with the strength of the interaction.