Maybe you don't want to go to a therapist. Maybe you don't think your problem is really that bad, or maybe you don't have the time, energy, or money. So what can you do?
You can read books. Books are a terrific source of information, and the right information, at the right time, can be very helpful. The first step in the change process is almost always to increase your level of awareness about your problem, issue, or pattern, and books are one way to do that. Of course, books will also offer you solutions. (See my very special book list)
You can try talking to a friend, confidant, or clergy member. We all need a sympathetic ear from time-to-time. We need objective feedback, but also somebody who cares about us. Ideally, try to pick someone who does not have a stake in your problem (which is often the issue with family members who try to help us). A true connection with another, caring person will probably make more difference than any other self-help remedy you can try.
You can try expressive writing. That is, writing candidly about your emotions or problems. Believe it or not, research has found that expressive writing really does help. Interestingly enough, it helps our bodies, not just our psyches.
You can try exercise. Maybe you're sick of hearing about the benefits of exercise, but the truth is, it's a cheap form of therapy. Research has shown that exercise helps with both anxiety and depression. It just works.
You can try taking vacation from work. Any emotional problem is made worst by stress. And for many, work is stressful. A vacation won't solve your problems per se, but a little time away from work may allow you to rest a bit, or play, which in turn may result in a change of perspective about your real problems.
Learn to meditate. There are simple forms of meditative breathing practices that can help. There's a reason why meditation has long been a part of some of many religious traditions, and there's reason why holistic approaches to medicine have become so popular, and why, these days, the trend in mental health is towards "mindfulness." Meditation works. Meditation calms the body.
If these remedies don't work, well, maybe therapyis what you need.