Affect experiencing (AE), defined as the facilitation of client in-session bodily arousal and visceral experiencing of affect, is a distinct theoretical process presumed to contribute to therapeutic improvement. This study examined the role of AE in the treatment of major depressive disorder by exploring its association to client distress and therapeutic alliance on a session-by-session basis. A case series design was used to conduct an intensive analysis of the treatment process of 4 clients who received time-limited intensive short-term dynamic psychotherapy, 2 of whom were considered “recovered” and 2 who showed “no change” based upon posttreatment outcomes. Consistent with our hypothesis, we found that cross-correlations between AE and client distress discriminated between “recovered” and “no change” clients. In “recovered” clients, there was evidence that higher in-session peak affect experience was associated with reduced distress 7 days later. The results did not provide consistent evidence for a reverse effect, showing that lower distress during the preceding week predicted higher AE in that session. Finally, there was evidence that AE is an in-session activity that can promote the strengthening of the therapeutic alliance. These collective findings suggest that AE is an important treatment process that contributes to alliance formation and psychotherapeutic improvement. Clinical implications include further evidence that psychodynamic therapists can utilize AE as an active change ingredient for depression.