The Canadian Psychological Association has a useful answer:
For most people, CBT is needed for 8-20 sessions, depending on the severity and chronicity of the problem. It is actually common for people to feel a bit worse after the first session. The reason for this may be because the therapist completes a thorough assessment of the problems but has not implemented intervention.
Most people know within 2-4 sessions whether or not they are comfortable with the therapist and whether or not CBT is an approach that is likely to be helpful. It usually takes longer than 2-4 sessions to experience any significant change in symptoms or distress.
Little is known about the causes of depression and anxiety, and each person’s circumstances and experiences are different and complex. As a result, it is hard to know exactly why a person is experiencing problems. Moreover, it has been convincingly demonstrated that simply having an understanding of why someone has problems will not help a lot. In order to overcome their problems, people must move from understanding to action, by challenging and changing their thoughts, assumptions, beliefs, and behaviours. Fortunately, researchers and clinicians do know what works to help people get better and stay well. Thus, rather than looking back, the focus of CBT is on solving problems in the present and looking forward.
For people with mild to moderate mood and anxiety problems, CBT is at least as effective as medication. In addition, CBT is often more effective than medication in maintaining wellness and preventing relapse over the long term. However, many people, especially those who have severe problems, benefit from a combination of medication and CBT.
Often, medication is used to provide some relief from symptoms and CBT is used to provide long-term strategies for getting well and staying well. Advantages of medications include the fact that they can provide significant symptom relief without a lot of effort. Disadvantages of medications include side effects and the significant risk of a return of symptoms when a person stops taking the medication. Advantages of CBT include the fact that it appears to be more effective than medication in maintaining wellness and preventing relapse. Disadvantages of CBT include the time and effort required to attend therapy sessions and do the homework, as well as the cost.