Ambulatory assessment (AA) covers a wide range of assessment methods to study people in their natural environment, including self-report, observational, and biological/physiological/behavioral. AA methods minimize retrospective biases while gathering ecologically valid data from patients' everyday life in real time or near real time. Here, we report on the major characteristics of AA, and we provide examples of applications of AA in clinical psychology (a) to investigate mechanisms and dynamics of symptoms, (b) to predict the future recurrence or onset of symptoms, (c) to monitor treatment effects, (d) to predict treatment success, (e) to prevent relapse, and (f) as interventions. In addition, we present and discuss the most pressing and compelling future AA applications: technological developments (the smartphone), improved ecological validity of laboratory results by combined lab-field studies, and investigating gene-environment interactions. We conclude with a discussion of acceptability, compliance, privacy, and ethical issues.