An intimate relationship exists between sleep and affective states. Disturbances in sleep are common across a spectrum of psychopathologies, and are recognised as precipitating or prodromal factors for mood disorders. Conversely, affective states can impact sleep quality and ability to fall asleep. However, one of the main limitations of this literature is that studies have typically assessed sleep and mood at one time point and studies are often laboratory-based, where measurement of both sleep and mood has dubious ecological validity. The aim of the current review was to systematically examine the evidence for associations between day-to-day fluctuations in sleep and mood in naturalistic studies using ambulatory diary techniques. Electronic databases (EMBASE, PsycINFO, PubMed, and SCOPUS) were searched for studies using experience sampling methodology to investigate daily associations between sleep and mood in naturalistic environments in healthy and clinical samples. Findings of the included studies supported the notion of a reciprocal relationship between subjective sleep variables (sleep quality, sleep duration and sleep latency) and daytime affective states over the short term, and highlight the potential clinical importance of daily sleep disturbance in the prediction and prevention of the development of psychopathology in the future.