There is a large and complex body of research on the question of whether therapy is effective for treating psychological suffering. The short answer to the question is "yes." The longer answer is exemplified in recent research about psychotherapy efficacy.
Research on therapy is difficult, expensive and takes a long time to complete. One very useful way of evaluating psychotherapy is to look at the results of "meta-analyses." A meta-analysis is a study of many different investigations of therapy to see what they say collectively.
The most impressive recent meta-analysis was conducted by Jonathan Shedler (American Psychologist, March 2010). In his analysis of several studies, he makes some important conclusions about psychotherapy:
Psychotherapy is effective for treating depression, anxiety and other problems.
Psychotherapy that aims to enhance a person's insight into their mind and emotions (psychodynamic psychotherapy) has effects that seem to be longer lasting.
This same kind of therapy, insight-oriented (or psychodynamic) therapy often results in improvement that continues even after the therapy has ended, presumably due to the fact that the patient can continue to apply the insight that was achieved during the treatment.