Sleep disturbance is a core symptom of mood disorders. However, surprisingly little is known about the relationship between sleep quality and ambulatory daily mood, especially in mood-disordered populations. We assessed ambulatory positive affect (PA) and negative affect (NA) 10 times daily for three consecutive days with the computerized experience sampling method among persons with major depression (n = 35), minor depression (n = 25) and healthy controls (n = 36). Sleep quality was assessed with the Pittsburgh Sleep Quality Index (PSQI). Poorer sleep quality predicted lower ambulatory PA, even after accounting for the effects of diagnostic group and self-reported anxiety. Conversely, sleep quality did not predict ambulatory NA once diagnostic group was accounted for. Analyzes of specific PSQI component scores indicated that poor subjective sleep quality and self-reported daytime dysfunction were the sleep components most strongly tied to reports of low ambulatory PA. Impaired sleep quality may be responsible for reduced pleasurable experience in everyday life.