Psychological processes are dynamical in nature and display strong individual differences. Yet, studies based on cross-sectional data only reveal group-level effects and lack the ability to capture the dynamic properties of human psychology. The investigation of psychological dynamics and heterogeneity requires the modeling of within-person processes obtained through intensive longitudinal data. Therefore, ambulatory assessment (AA) methods that permit researchers to collect such data with high ecological validity have recently attracted wide attention and increased in availability due to technological advancements. Despite AA’s popularity, few studies have investigated how participants experience and perceive their participation, such as the burdensomeness and utility of AA. This is important, as participants’ experience in the measurement process can directly impact data quality. In a large-scale daily diary study involving 2792 individuals, we asked participants to report their experience of the measurement process. We discovered that most participants found AA to be beneficial in general (74.6%) and specifically, for their self-understanding (59.9%) and self-reflection and experience sharing (68.5%). Furthermore, most participants expressed willingness to participate in AA research again (83.9%). A small fraction of participants (11.7%) reported they felt AA participation worsened their problems, and 21.7% participants reported that AA participation helped alleviate their mental health problems. High acceptability of AA also improved participants’ compliance in the study, with perceived utility predicted more participation days. This study reveals that adults predominantly find participation in AA research to be beneficial for their mental health, with the majority of adults expressing re-participation interest. A minority of individuals expressed mental deterioration, presenting a critical avenue for future research to identify the characteristics of these individuals.