Time-sampling methodology was implemented to examine the prospective associations between affect, desire to gamble, and gambling behavior in individuals diagnosed with a mood disorder. Thirty (9 male, 21 female) adults with a lifetime diagnosis of a depressive or bipolar disorder diagnosis who endorsed current gambling and lifetime gambling harm participated in the present study. Participants completed electronic diary entries of their current affective state, desire to gamble, and gambling behavior for 30 consecutive days. Hierarchical linear modelling revealed that affect was not a predictor of gambling behavior. Instead, affect predicted the desire to gamble, with high levels of sadness and arousal independently predicting an increased desire to gamble. Desire to gamble predicted actual gambling behavior. There were no differences across diagnostic groups in terms of gambling motivations at baseline; however, during the 30-day period, participants with bipolar disorder endorsed gambling to cope with negative affect more often than did participants with depressive disorder, whereas those with depressive disorder more often endorsed gambling for social reasons or enhancement of positive affect. The present findings provide evidence that negative affect is not directly related to actual gambling behavior, and suggest that affective states rather impact the desire to gamble.