Engagement in activities increases positive affect (reward path 1), which subsequently reinforces motivation (reward path 2) and hence future engagement in activities (reward path 3). Strong connections between these three reward loop components are considered adaptive, and might be disturbed in depression. Although some Ecological Momentary Assessment (EMA) studies have investigated the cross-sectional association between separate reward paths and individuals’ level of depression, no EMA study has looked into the association between individuals’ reward loop strength and depressive symptom course. The present EMA study assessed reward loop functioning (5x/day, 28 days) of 46 outpatients starting depression treatment at secondary mental health services and monitored with the Inventory of Depressive Symptomatology Self Report (IDS-SR) during a 7-month period. Results of multilevel regression analyses showed significant within-person associations for reward path 1 (b = 0.21; p < .001); reward path 2 (b = 0.43; p < .001) and reward path 3 (b = 0.20; p < .001). Stronger average reward loops (i.e., within-person mean of all reward paths) did not relate to participants’ improvement in depressive symptoms over time. Path-specific results revealed that reward paths 1 and 2 may have partly opposite effects on depressive symptom course. Together, our findings suggest that reward processes in daily life might be best studied separately and that further investigation is warranted to explore under what circumstances strong paths are adaptive or not.