The dynamic Monte Carlo (DMC) method is an established molecular simulation technique for the analysis of the dynamics in colloidal suspensions. An excellent alternative to Brownian dynamics or molecular dynamics simulation, DMC is applicable to systems of spherical and/or anisotropic particles and to equilibrium or out-of-equilibrium processes. In this work, we present a theoretical and methodological framework to extend DMC to the study of heterogeneous systems, where the presence of an interface between coexisting phases introduces an additional element of complexity in determining the dynamic properties. In particular, we simulate a Lennard-Jones fluid at the liquid-vapor equilibrium and determine the diffusion coefficients in the bulk of each phase and across the interface. To test the validity of our DMC results, we also perform Brownian Dynamics simulations and unveil an excellent quantitative agreement between the two simulation techniques.