Sleep and affective states are closely intertwined. Nevertheless, previous methods to evaluate sleep-affect associations have been limited by poor ecological validity, with a few studies examining temporal or dynamic interactions in naturalistic settings. First, to update and integrate evidence from studies investigating the reciprocal relationship between daily sleep and affective phenomena (mood, affect, and emotions) through ambulatory and prospective monitoring. Second, to evaluate differential patterns based on age, affective disorder diagnosis (bipolar, depression, and anxiety), and shift work patterns on day-to-day sleep-emotion dyads. Third, to summarise the use of wearables, actigraphy, and digital tools in assessing longitudinal sleep-affect associations. A comprehensive PRISMA-compliant systematic review was conducted through the EMBASE, Ovid MEDLINE(R), PsycINFO, and Scopus databases. Of the 3024 records screened, 121 studies were included. Bidirectionality of sleep-affect associations was found (in general) across affective disorders (bipolar, depression, and anxiety), shift workers, and healthy participants representing a range of age groups. However, findings were influenced by the sleep indices and affective dimensions operationalised, sampling resolution, time of day effects, and diagnostic status. Sleep disturbances, especially poorer sleep quality and truncated sleep duration, were consistently found to influence positive and negative affective experiences. Sleep was more often a stronger predictor of subsequent daytime affect than vice versa. The strength and magnitude of sleep-affect associations were more robust for subjective (self-reported) sleep parameters compared to objective (actigraphic) sleep parameters.