Anhedonia is a lack or loss of pleasure in daily life and is common across many mental health disorders (i.e., transdiagnostic). This is the first systematic review to investigate: 1) How is anhedonia conceptualized and explicitly measured using experience sampling methodology (ESM) in psychiatry and mental health?; 2) What is the experience of anhedonia in daily life at the between-person level and at the within-person level?; and 3) What is the quality of reporting in ESM studies assessing anhedonia in daily life? We searched PsychARTICLES, MEDLINE, Psychology Databases, EMBASE, Web of Science Core Collection, and Europe PMC (last search 6th May 2024). We identified 102 unique articles that satisfied inclusion criteria (i.e., assessed anhedonia via ESM). Anhedonia was typically conceptualized in terms of diminished pleasure, enjoyment, or liking, with emphasis on consummatory rather than anticipatory experiences. Measurement was heterogeneous and approaches differed across mental health research traditions. Anticipatory and consummatory anhedonia were present in samples that experienced mental health symptoms or diagnoses (between-person) and varied across different daily contexts and across time (within-person). Compliance with a composite reporting quality assessment tool for ESM studies was generally low. Results suggest that there is benefit in exploring anhedonia in daily life from a transdiagnostic perspective to identify whether different components of anhedonia relate to one another in a similar way across disorders. Future research would benefit from standardized and validated ESM items of anhedonia, exploration of moment-to-moment changes over shorter time-scales, and increased transparency in methodological reporting.