The aim of this study was to explore the feasibility and effectiveness of mindful walking in nature as a possible means to maintain mindfulness skills after a mindfulness-based cognitive therapy (MBCT) or mindfulness-based stress reduction (MBSR) course. Mindful walking alongside the river Rhine took place for 1, 3, 6, or 10 days, with a control period of a similar number of days, 1 week before the mindful walking period. In 29 mindfulness participants, experience sampling method (ESM) was performed during the control and mindful walking period. Smartphones offered items on positive and negative affect and state mindfulness at random times during the day. Furthermore, self-report questionnaires were administered before and after the control and mindful walking period, assessing depression, anxiety, stress, brooding, and mindfulness skills. ESM data showed that walking resulted in a significant improvement of both mindfulness and positive affect, and that state mindfulness and positive affect prospectively enhanced each other in an upward spiral. The opposite pattern was observed with state mindfulness and negative affect, where increased state mindfulness predicted less negative affect. Exploratory questionnaire data indicated corresponding results, though non-significant due to the small sample size. This is the first time that ESM was used to assess interactions between state mindfulness and momentary affect during a mindfulness intervention of several consecutive days, showing an upward spiral effect. Mindful walking in nature may be an effective way to maintain mindfulness practice and further improve psychological functioning.