(1) Background: The use of smartphone-based ecological momentary assessment (EMA) questionnaires in affective disorder research has rapidly increased. Though, a thorough understanding of experienced burden of and adherence to EMA is crucial in determining the usefulness of EMA. (2) Methods: Persons with current affective disorders (n = 100), remitted persons (n = 190), and healthy controls (n = 94) participated in a smartphone-based EMA two-week monitoring period. Our primary outcomes were (momentary) perceived burden of and adherence to EMA. (3) Results: In the whole sample, lower positive and higher negative affect were associated with slightly higher levels of perceived momentary burden (B = −0.23 [95%CI = −0.27–0.19], B = 0.30 [95%CI = 0.24–0.37], respectively). The persons with current affective disorders reported slightly higher levels of experienced momentary burden (Mdn = 1.98 [IQR = 1.28–2.57]), than the remitted persons (Mdn = 1.64 [IQR = 1.11–2.24]) and healthy controls (Mdn = 1.28 [IQR = 1.04–1.92]). Nevertheless, the persons with current affective disorders still showed very high adherence rates (Mdn = 94.3% [IQR = 87.9–97.1]), at rates on a par with the remitted persons (Mdn = 94.3% [IQR = 90.0–97.1]) and healthy controls (Mdn = 94.3% [IQR = 90.0–98.6]). (4) Discussion: Frequent momentary questionnaires of mental well-being are slightly more burdensome to the persons with current affective disorders, but this does not seem to have a negative impact on adherence. Their high rate of adherence to EMA—which was similar to that in remitted persons and healthy controls —suggests that it is feasible to apply (short-duration) EMA.