In recent years, significant technological advances have changed our understanding of dynamic processes in clinical psychology. A particularly important agent of change has been ambulatory assessment (AA). AA is the assessment of individuals in their daily lives, combining the twin benefits of increased ecological validity and minimized retrospective biases. These benefits make AA particularly well-suited to the assessment of dynamic processes, and recent advancements in technology are providing exciting new opportunities to understand these processes in new ways. In the current article, we briefly detail the capabilities currently offered by smartphones and mobile physiological devices, as well as some of the practical and ethical challenges of incorporating these new technologies into AA research. We then provide several examples of recent innovative applications of AA methodology in clinical research, assessment, and intervention and provide a case example of AA data generated from a study utilizing multiple mobile devices. In this way, we aim to provide a sense of direction for researchers planning AA studies of their own.