One of the main reasons psychological counseling works for many people is that talking about your problems helps you to sort them out and to get another person's perspective on them. While psychologists are specially trained to do this, so are many priests, ministers, and rabbis, and unlike most psychologists they may be able to help you free of charge. Some churches even employ specialized pastoral counselors to perform this function, and they may also be able to direct you to community resources that have been set up to help people like you. If your problems involve guilt, a generalized feeling of emptiness, or concerns about your life's meaning, these counselors can sometimes be even more effective than a psychologist who comes at your issues from a totally secular perspective.
Books can be helpful if they're selected carefully. Beware of those that promise to solve all your problems in 10 easy steps, or that promise to make you rich, famous, and successful overnight. One that I highly recommend is "The Road Less Travelled," which starts with the words "Life is difficult." As obvious as that may seem, many people make their problems worse by seeking or expecting a pain and trouble-free existence, and then being terribly disappointed when they don't get it. Watching movies, plays, or television dramas can also help you to get a new perspective on your problems. There are several books available on film as therapy, all available at Amazon.com and at many used books sites for a very reasonable price.
Psychological problems come in all varieties. Sometimes talking about your problems and figuring out what you're doing wrong is critcal. Other times, though, just the opposite is true. If you've failed with counseling and gone round and round in the same circles, maybe what you need is stop focusing on yourself for awhile. Take up a new hobby, volunteer at a homeless shelter, or take a class in something you've always wanted to learn about. Sometimes this is all it takes to put your problems in perspective and get on with your life.
There are also some specific stategies that can improve your outlook on life, no matter what your problems. Maintain your social relationships and strive to make new ones, even if you're depressed and don't feel like it. Try to do at least one thing you're afraid to do, and one thing that is uncharacteristic of you, every week. By doing so, you will teach yourself new behavior patterns that will lead to new coping skills.
Unless your problems are severe, one or all of these steps should have you feeling better without the expense of a private therapist.