What does therapy actually involve in the first few sessions?

Usually less dramatic than people expect. The first session is largely history and context — what brought you, how long, what you have tried, background, and often standard questionnaires. The next couple typically clarify goals and how you will work together. Change work usually begins after that. You will not be forced to discuss anything before you are ready, and it is reasonable to ask what approach the therapist uses and how long they expect it to take. Feeling somewhat worse after early sessions is common when difficult material surfaces, and is worth saying out loud rather than quietly stopping.