Is there something that Prefect provides in regards to the execution environment? Or do I need to host that myself?

@Janis Karimovs, its a prefect provides .. you can find more information here https://prefecthq.github.io/prefect-databricks/

The easiest option is managed execution, which is in open Beta, to be moved to generally available soon. https://docs.prefect.io/latest/guides/managed-execution/?h=managed