Therapy means a couple different things tbf. I'm in a weird position where I've spent over half my life in therapy. I'm also a 3rd year psych major so I'll offer my perspective of each based off a mix of experience and knowledge.
First, if you believe it's a mental illness, skip the whole therapy shit and contact your general physician or ask to see a psychiatrist at your mental health clinic. You will still end up in therapy, just nice to get the meds. Figuring out what illness it is + what med works best is a pretty grueling process so I do recommend starting early and being as truthful as possible. Your always gonna get the depression anxiety treatment otherwise.
However if you wanted to pursue therapy, there are a couple different routes which can help with specific things.
CBT(cognitive behavioral therapy aka cock and ball torture): Helps if you don't understand your own behaviors/why you do things. From personal experience this was the most underwhelming despite it being one of the most effective for people with more severe problems. Me personally, I always had a good understanding of why I act, but might help if your unsure.
DBT(dialectical behavior therapy): Helps if you have more extreme emotions and teaches techniques for processing said emotions. From personal experience this was actually the most useful, as it teaches a fair bit of actual mindfulness techniques which do help me with panic attacks.
Group: Helps if you are trying to improve social skills/feeling extra unheard or lonely. From personal experience this shit sucks balls and everytime I did it I was essentially forced into. That said, this has the unique experience of actually receiving interesting perspectives for feedback. However, and this is my humble opinion, SaSu is a much better, less filtered, more likeminded group therapy.
IOP(intensive outpatient treatment aka Jesus fucking Christ this is hell): Helps mostly if you're having drug, loss/grief, or relationship problems. As suggested in the name, it's intensive, which means you're doing shit multiple days a week for a fair bit of hours. This is typically largely group therapy with occasional individual sessions serving as check ups. From personal experience, this shit is ass, but for some who need that constant checkup feel, it's worth exploring. Now if this doesn't sound like something you want, make that clear with your mental healthcare facility if they ask. They tend to try and force this shit since it allows the few therapists assigned as IOP case managers to effectively handle multiple people at once. It's easier for them to schedule, and takes less wait for the patient if therapists are all booked up.
Otherwise there is the "good" old general individual therapy. Helps if you just need to rant, although some therapists try to be problem solvers, and it takes some explaining that you don't want the constant problem solving analysis, and just need to vent. This unfortunately might take a few attempts, as some therapists simply just aren't fond of this approach. From personal experience this is the least useful if your a nihilist/pessimist/cynic, if you don't want to get better, and/or if you don't trust your therapist.
Now technically there are other forms, ofc the famous electroshock, but aside from knowing that it actually does work for depression, I've never done this nor do I recommend anyone to. Not worth it IMO.
There are also specializations of therapy, such as existentialism, humanistic, etc. but these are generally covered in individual therapy depending on what therapist you get. Reason it's hard to find these specific ones, is that it's simply not reliable(psych definition of reliable), and so if you do find a therapist who is fully invested in a singular approach, it's gonna be an expensive ass private one which is probably not worth your time. That said, you can just dice roll normal therapists, as depending on therapist, they will employ a degree of whatever approach they prefer as well as a mixture of other approaches. This is why it might take a few different therapists to find your match.