Pleasure and displeasure can be parsed into anticipatory and consummatory phases. However, research on pleasure and displeasure in major depressive disorder (MDD), a disorder characterized by anhedonia, has largely focused on deficits in the consummatory phase. Moreover, most studies in this area have been laboratory-based, raising the question of how component processes of pleasure and displeasure are experienced in the daily lives of depressed individuals. Using experience sampling, we compared anticipatory and consummatory pleasure and displeasure for daily activities reported by adults with MDD (n = 41) and healthy controls (n = 39). Participants carried electronic devices for one week and were randomly prompted eight times a day to answer questions about activities to which they most and least looked forward. Compared to healthy controls, MDD participants reported blunted levels of both anticipatory and consummatory pleasure and elevated levels of both anticipatory and consummatory displeasure for daily activities. Independent of MDD status, participants accurately predicted pleasure but overestimated displeasure. These results are the first to provide evidence that, across both anticipatory and consummatory phases, individuals with MDD experience blunted pleasure and elevated displeasure for daily activities. Our findings clarify the disturbances in pleasure and displeasure that characterize MDD and may inform treatment for this debilitating disorder.