Psychosocial therapies play a crucial role in effectively treating anxiety and depression. An integral aspect of these therapies involves setting goals that clients engage in outside therapy, known as therapy homework or between-session goals. Yet, clients overwhelmingly do not complete between-session goals. This study explores mental health therapists' and clients' challenges in collaborating to set and manage engagement with between-session goals and discusses how technology could better support them. We interviewed 13 therapists and 14 clients about their experiences with between-session goals. We identified therapists' needs for information to support their clients, challenges in collaboration, and how technology can support client-therapist collaboration. Therapists need in-the-moment information about clients' engagement with goals to inform their decision-making. Clients may feel reluctant to share information due to a lack of trust, embarrassment, or not knowing what to share. Clients could use technology to asynchronously communicate about sensitive topics with their therapists. Technologies could facilitate gathering in-the-moment data that supports client-therapist collaboration on goals.