Anxiety disorders are among the most prevalent mental disorders. In panic disorder, panic attacks often occur at unpredictable times, making it difficult to study these episodes in the laboratory. In specific phobias, symptoms occur in very circumscribed situations and specific triggers are sometimes difficult to reproduce in the laboratory. Ambulatory assessment, or ecological momentary assessment, can further the understanding of the natural course and scope of symptoms under ecologically valid circumstances. Because bodily symptoms are integral to the diagnosis of anxiety disorders, the objective assessment of physiological responses in the patients' natural environment is particularly important. On the one hand, research has highlighted intriguing discrepancies between the experience of symptoms and physiology during panic attacks. On the other hand, it has validated symptom reporting during therapeutic exposure to phobic situations. Therefore, ambulatory assessment can yield useful information about the psychopathology of anxiety disorders, and it can be used to monitor change during clinical interventions.