Objective: Although patient–therapist collaboration (working alliance) has been studied extensively in Europe and America, it is unknown to what extent the importance of working alliance for psychotherapy outcome generalizes to lower- and middle-income countries. Additionally, there is a need for more studies on the alliance using methods that are robust to confounders of its effect on outcome. Method: In this study, 345 outpatients seeking care at the 2 public psychiatric hospitals in Nairobi, Kenya, filled out the Session Alliance Inventory (SAI) and the Clinical Outcomes in Routine Evaluation—Outcome Measure (CORE–OM) during each session. The effect of alliance on next-session psychological distress was modeled using the random intercept cross-lagged panel model, which estimates a cross-lagged panel model on within- and between-subjects disaggregated data. Results: Changes in the working alliance from session to session significantly predicted change in psychological distress by the next session, with an increase of 1 point of the SAI in a given session resulting in a decrease of 1.27 points on the CORE–OM by the next session (SE = .60, 95% confidence interval [−2.44, −.10]). This finding represents a medium-sized standardized regression coefficient of between .16 and .21. Results were generally robust to sensitivity tests for stationarity, missing data assumptions, and measurement error. Conclusion: Results affirm cross-cultural stability of the session-by-session reciprocal effects model of alliance and psychological distress–symptoms as seen in a Kenyan psychiatric outpatient sample, using the latest developments in cross-lagged panel modeling. A limitation of the study is its naturalistic design and lack of control over several variables. (PsycINFO Database Record (c) 2018 APA, all rights reserved)