Objectives: Little is known about the daily associations between affect, worry, and sleep problems, and previous studies did not distinguish differences between persons from differences within persons. We examined bidirectional associations of daily unpleasant affect (UA), pleasant affect (PA), and worry with sleep problems at both the between- and the within-persons level. Methods: The data came from a web-based diary study called “HowNutsAreTheDutch”, in which 1,165 respondents filled out an online questionnaire 3 times a day, for 30 consecutive days. Daily levels of affect and worry were calculated by averaging the morning, afternoon, and evening scores. Sleep problems were assessed in the morning, with regard to the previous night. Bidirectional associations between affect, worry, and sleep problems were tested using Dynamic Structural Equation Modeling (DSEM). Results: High UA, low PA, high worry, and poor sleep were strongly associated at the between-person level. At the within-person level, better-than-usual sleep at night significantly predicted lower UA (β = -0.31, p