There's a fairly general explanation here: Why Doesn't Standard Talking Therapy Work for Autistic People? - Dr Alice Nicholls
But it's particularly important around anxiety. Standard treatment for anxiety is graduated exposure, often called an anxiety ladder. So, for example, if having an injection makes you feel anxious, then you start by looking at pictures of needles, and using techniques such as breathing to control your anxiety. This is repeated until you can look at a picture of a needle without feeling anxious, and then you move on to, for example, looking at a real needle. For social anxiety you might start by walking to the door of a shop and not going in.
In autism, anxiety is often (always?) linked to sensory processing difficulties and/or sensory and social overwhelm. So going into a shop is difficult because the lights are bright, the smells are strong, people do unexpected things, you are expected to interact with unpredictable PNT (predominant neurotype) people etc. The WORST thing that you can do for sensory overwhelm is to force yourself to stay in the situation that is causing the overwhelm. Autistic people experience this all the time, and get more skilled at forcing themselves into these uncomfortable situations without showing outward signs of their distress (masking). Until they can't cope any longer and they end up in autistic burnout.
Again, the best 'treatment' for autistic burnout (according to autistic people) is exactly the opposite to the treatment for depression and anxiety. For a depressed PNT person, the recommendation would be to maintain connections with friends and families, get outside and do exercise, get yourself into a routine, gradually increase what you can do. Burnout requires reduced interactions, reduced demands, lots of solitude and quiet, reduced sensory input etc etc. Recovery from a depressive episode is usually 6-8 weeks. Recovery from burnout is usually 12-18 months.