I've found counseling to be immensely helpful. (Studies have shown, too, that cognitive behavioral therapy is as effective as antidepressants for many people.)
I also wasn't sure how counseling could help me -- I thought I knew what the counselor would say, thought I knew all the things I should be feeling and doing anyway, so wasn't sure what the point would be. But I also knew that I was having a really sh*tty time, and needed to try something new.
I went to two different counselors for just a few sessions (1-3) each, over the course of two years, and both were VERY helpful. While I did cry through the sessions, I ALWAYS came out feeling better than I did when I went in, the positive effects were long lasting, and I still think back to the things the counselor helped me to realize when I'm having a hard time coping.
Just to give you an example, one of the issues that is still the hardest for me is the feeling that no matter what I do, no matter how much therapy I give DS (who has cerebral palsy), I could still do more, and that it would never be enough.
He walked me through my options:
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Spend every waking moment with DS doing therapy; exhausting for both of us, consuming my life, and since it wouldn't be likely to "cure" DS, still always wondering if it was "enough"
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Continue doing what I'm doing, which is taking him to his out-of-home therapy sessions and doing as much as I am able (literally and/or emotionally) to at home (which is sometimes nothing), but also focusing on just being a good MOTHER (not therapist) to him
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Continue what I'm doing (a reasonable effort, even when it falls far short of perfect), but obsessing over feeling guilty about it all the time and being miserable.
So, part of his point (and a good therapist will allow you to come to the realizations yourself instead of "telling" you) was that
only PART of the issue is really "how much" I was doing, and that the larger issue is how I feel about it (will I torture myself, or will I allow myself to be imperfect).
It's still an issue for me (and just typing this has brought me back to questioning it again!), but my therapy sessions have always, always been helpful. It also makes me aware of what my negative thought patterns are and how I can break them. So instead of just feeling miserable, I can identify what specific, unproductive feelings I'm having and act on changing them.