Dialectical Behavior Therapy (DBT) is effective at treating disorders of emotion dysregulation. However, it is unclear which mechanisms contribute to these effects. The aim of this study was to characterize the within-person associations of two theoretically relevant mechanisims of change, skill use and skill effectiveness, with anxiety, stress, and depression. Participants (n = 19, Mage = 31.8, 68% female) with a primary anxiety or depressive disorder completed daily reports (N = 1344) of DBT skill use, perceived effectiveness, anxiety, stress, and depression during a 16-session DBT skills training group. DBT skill use increased across treatment, p < .01, but effectiveness did not, p = .64. Within persons, participants used more skills on days with greater stress and anxiety, p < .01, which predicted next-day decreases in stress and anxiety, p = .03. On days when participants reported higher effectiveness, they used more skills than their personal average when experiencing more intense negative affect, p < .01. These results suggest using more skills, especially when used more effectively, is a mechanism by which DBT skills groups address emotional dysfunction for those with transdiagnostic emotional disorders.