Ecological momentary assessment was used to examine associations between negative affect, positive smoking outcome expectancies, and smoking urge during the first 7 days of a smoking quit attempt. Participants were 302 female smokers who enrolled in an individually tailored smoking cessation treatment study. Multilevel mediation analysis was used to examine the temporal relationship among the following: (a) the effects of negative affect and positive smoking outcome expectancies at 1 assessment point (e.g., time j) on smoking urge at the subsequent time point (e.g., time j + 1) in Model 1; and, (b) the effects of negative affect and smoking urge at time j on positive smoking outcome expectancies at time j + 1 in Model 2. The results from Model 1 showed a statistically significant effect of negative affect at time j on smoking urge at time j + 1, and this effect was mediated by positive smoking outcome expectancies at time j, both within- and between-participants. In Model 2, the within-participant indirect effect of negative affect at time j on positive smoking outcome expectancies at time j + 1 through smoking urge at time j was nonsignificant. However, a statistically significant indirect between-participants effect was found in Model 2. The findings support the hypothesis that urge and positive smoking outcome expectancies increase as a function of negative affect, and suggest a stronger effect of expectancies on urge as opposed to the effect of urge on expectancies.