Currently, dynamic structural equation modeling (DSEM) and residual DSEM (RDSEM) are commonly used in testing intensive longitudinal data (ILD). Researchers are interested in ILD mediation models, but their analyses are challenging. The present paper mathematically derived, empirically compared, and step-by-step demonstrated three types (i.e., 1-1-1, 2-1-1, and 2-2-1) of intensive longitudinal mediation (ILM) analyses based on DSEM and RDSEM models. Specifically, each ILM model was demonstrated with a simulated example and illustrated with the corresponding annotated Mplus codes. We compared two types of detrending methods in mediation analyses and showed that RDSEM was superior to DSEM because the latter included the timetj variable as a Level 1 predictor. Lastly, we extended ILM analyses based on DSEM and RDSEM to multilevel autoregressive mediation models, cross-classified DSEM, and intensive longitudinal moderated mediation models.