Although there is a wealth of evidence that physical activity has positive effects on psychological health, a large proportion of people are inactive. Data regarding counts, steps, and movement patterns are limited in their ability to explain why people remain inactive. We propose that multimodal ambulatory monitoring, which combines the assessment of physical activity with the assessment of psychological variables, helps to elucidate real world physical activity. Whereas physical activity can be monitored continuously, psychological variables can only be assessed at discrete intervals, such as every hour. Moreover, the assessment of psychological variables must be linked to the activity of interest. For example, if an inactive and overweight person is physically active once a week, psychological variables should be assessed during this episode. Linking the assessment of psychological variables to episodes of an activity of interest can be achieved with interactive monitoring. The primary aim of our interactive multimodal ambulatory monitoring approach was to intentionally increase the number of e-diary assessments during “active” episodes. We developed and tested an interactive monitoring algorithm that continuously monitors physical activity in everyday life. When predefined thresholds are surpassed, the algorithm triggers a signal for participants to answer questions in their electronic diary. Using data from 70 participants wearing an accelerative device for 24 h each, we found that our algorithm quadrupled the frequency of e-diary assessments during the activity episodes of interest compared to random sampling. Multimodal interactive ambulatory monitoring appears to be a promising approach to enhancing our understanding of real world physical activity and movement.