Ecological Momentary Assessment (EMA) involves repeated, real-time sampling of health behaviours in context. We present the state-of-knowledge in EMA research focused on five key health behaviours (physical activity and sedentary behaviour, dietary behaviour, alcohol consumption, tobacco smoking, sexual health), summarising theoretical (e.g., psychological and contextual predictors) and methodological aspects (e.g., study characteristics, EMA adherence). We searched Ovid MEDLINE, Embase, PsycINFO and Web of Science until February 2021. We included studies focused on any of the aforementioned health behaviours in adult, non-clinical populations that assessed ≥1 psychological/contextual predictor and reported a predictor-behaviour association. A narrative synthesis and random-effects meta-analyses of EMA adherence were conducted. We included 633 studies. The median study duration was 14 days. The most frequently assessed predictors were ‘negative feeling states’ (21%) and ‘motivation and goals’ (16.5%). The pooled percentage of EMA adherence was high at 81.4% (95% CI = 80.0%, 82.8%, k = 348) and did not differ by target behaviour but was somewhat higher in student (vs. general population) samples, when EMAs were delivered via mobile phones/smartphones (vs. handheld devices), and when event contingent (vs. fixed) sampling was used. This review showcases how the EMA method has been applied to improve understanding and prediction of health behaviours in context.