Symptom fluctuations and the dynamic contexts provoking these are poorly understood. This deficit is compounded by people's limited ability to accurately report about such dimensions in retrospect. Utilizing the advantages of experience sampling methodology (ESM), this study rigorously describes and tests proximal environmental, neurobiological and psychological factors associated with symptoms and mood states. Participants were assigned to three diagnostic groups: Major Depressive Disorder (MDD; n = 118), Social Phobia (SP; n = 47), or a Control Group without SP or MDD (CG; n = 119). Laboratory assessments included cognitive abilities, memory, constructs, and brain derived neurotrophic factor (BDNF). ESM lasted seven days, with six assessments per day covering symptoms, affect, daily events, social interactions, post-event processing, well-being, etc. Morning cortisol and actigraphy were also assessed during ESM. Thereafter, participants provided subjective retrospective recall estimates of the emotions they reported during ESM. The multi-level data of >10,000 observations will allow for thorough examination of fluctuations of psychopathology and well-being in two highly prevalent disorders. Using two clinical groups and a non-affected control group, the clinical specificity versus generalizability of processes can be directly tested, thus providing stimulating information about the overlap and differences between anxiety and affective disorders. This research informs about the development, fluctuation, and maintaining factors of emotions and symptoms and examines the accuracy with which participants recall these dimensions.