Objectives This systematic review aimed to examine the results of studies on suicidality risk factors and self-harm that used Ecological Momentary Assessments. Methods Pubmed and PsycINFO databases were searched up to April 2020. Bibliographies of eligible studies were hand-searched, and 744 abstracts were screened and double-coded for inclusion. Results The 49 studies using EMA included in the review found associations between daily affect, rumination and interpersonal interactions and daily non-suicidal self-injury (NSSI). Studies also found associations between daily negative affect and positive affect, social support, sleep, and emotions and a person’s history of suicide and self-harm. Associations between daily suicide thoughts and self-harm, and psychopathology factors measured at baseline were also observed. Conclusions Research using EMA has the potential to offer clinicians the ability to understand the daily predictors, or risk factors, of suicide and self-harm. However, there are no clear reporting standards for EMA studies on risk factors for suicide. Further research should utilise longitudinal study designs, harmonise datasets and use machine learning techniques to identify patterns of proximal risk factors for suicide behaviours.