Ecological momentary interventions (EMIs) are becoming more popular and more powerful resources for the treatment and prevention of depression and anxiety due to advances in technological capacity and analytic sophistication. Previous work has demonstrated that EMIs can be effective at reducing symptoms of depression and anxiety as well as related outcomes of stress and at increasing positive psychological functioning. In this review, we highlight the differences between EMIs and other forms of treatment due to the nature of EMIs to be deeply integrated into the fabric of people's day-to-day lives. EMIs require unique considerations in their design, deployment, and evaluation. Furthermore, given that EMIs have been advanced by changes in technologies and that the use of behavioral intervention technologies for mental health has been increasing, we discuss how technologies and analytics might usher in a new era of EMIs. Future EMIs might reduce user burden and increase intervention personalization and sophistication by leveraging digital sensors and advances in natural language processing and machine learning. Thus, although current EMIs are effective, the EMIs of the future might be more engaging, responsive, and adaptable to different people and different contexts.