Intensive longitudinal methods (ILMs) represent a class of longitudinal designs used to understand the flow of people’s thoughts, feelings, physiology, and behaviors in their natural settings. This term encompasses daily diary, experience sampling, ecological momentary assessment, ambulatory assessment, and related methods. Research on ILMs has grown exponentially, evolving into a core approach that complements more traditional designs. This article builds on this journal’s first review on this topic, published in 2003. In the quarter-century since, there have been marked advances in design, technology, and statistical modeling. Three core ideas permeate this review: To build adequate theories of psychological functioning in natural settings, researchers must focus on (a) kinematics, (b) dynamics, and (c) heterogeneity. Kinematics answers the question, What happened? Dynamics answers the question, Why did it happen? Heterogeneity answers the question, How much do people vary in the whats and whys? ILMs can address these three goals of psychological science.