Anxiety disorders are highly prevalent. Symptoms may occur unpredictably (e.g., panic attacks) or predictably in specific situations (e.g., social phobia). Consequently, it may be difficult to assess anxiety and related constructs realistically in the laboratory or by traditional retrospective questionnaires. Experience sampling methods (ESM) and ecological momentary assessment (EMA) can deepen the understanding of the course of anxiety disorders by frequently assessing symptoms and other variables in the natural environment. We review 34 ESM/EMA studies on adult panic disorder, generalized anxiety disorder, social phobia, post-traumatic stress disorder, and obsessive-compulsive disorder, as well as anxiety disorders in youth. Benefits of ESM/EMA for the study of anxiety disorders include generating insight into the temporal variability of symptoms and into the associations among daily affect, behaviors, and situational cues. Further, ESM/EMA has been successfully combined with ambulatory assessment of physiological variables and with treatment evaluations. We provide suggestions for future research, as well as for clinical applications.