Background: Ambulatory assessments offer opportunities to evaluate daily dynamics of sleep and momentary affect using mobile technologies. This study examines day-to-day bidirectional associations between sleep and affect using mobile monitoring, and evaluates whether these associations differ between people without and with current or remitted depression/anxiety. Methods: Two-week ecological momentary assessment (EMA) and actigraphy data of 359 participants with current (n = 93), remitted (n = 176) or no (n = 90) CIDI depression/anxiety diagnoses were obtained from the Netherlands Study of Depression and Anxiety. Objective sleep duration (SD) and efficiency were obtained from actigraphy data. Self-reported SD, sleep quality (SQ), positive affect (PA) and negative affect (NA) were assessed by electronic diaries through EMA. Results: A bidirectional longitudinal association was found between self-reported SQ and affect, while no association was found for self-reported SD and objective SD and efficiency. Better SQ predicted affect the same day (higher PA: b = 0.035, p < 0.001; lower NA: b = -0.022, p < 0.001), while lower NA on the preceding day predicted better SQ (b = -0.102, p = 0.001). The presence of current depression/anxiety disorders moderated the association between better SQ and subsequent lower NA; it was stronger for patients compared to controls (p = 0.003). Limitations: Observational study design can only point to areas of interest for interventions. Conclusions: This 2-week ambulatory monitoring study shows that, especially among depression/anxiety patients, better self-reported SQ predicts higher PA and lower NA the same day, while lower NA predicts better self-reported SQ. The value of mobile technologies to monitor and potentially intervene in patients to improve their affect should be explored.