Work usually begins with an assessment: an interview about symptoms, history and life circumstances, sometimes with standardised questionnaires. The psychologist then shares their understanding of the problem and you agree on goals and approach.
Methods vary with the therapist's training, for example cognitive behavioural therapy, schema therapy, acceptance and commitment therapy or psychodynamic approaches. Where needed, a clinical psychologist coordinates with a psychiatrist or your doctor.
A brief comparison: a psychiatrist is a physician focused more on medical diagnosis and medication; a counsellor often works on life issues and adjustment; a clinical psychologist focuses on psychological assessment and treatment. The title "clinical psychologist" is protected in some countries and licensing rules differ by country.