Just about everyone is familiar with the placebo effect at this point. What I've discovered through my personal studies working with people suffering from anxiety and depression is that there is actually a significant related effect, which I have dubbed the anti-placebo effect.
Google says: pla·ce·bo ef·fect
I say: anti·pla·ce·bo ef·fect
Its easy to miss treatment working. For example, as a kid grows up, its easy to miss how their vocabulary is growing, but for someone who doesn't seem them every day, it may be immediately obvious "my how they're talking more!" In other words, an anti-placebo effect is what happens when someone is having an intervention that is causing their life to improve, but the person does not believe that they are improving.
This effect is most common with people who suffer from depression, who have biases for sad  and otherwise negative stimuli compared to the general population, and is also true of people suffering from anxiety from my personal client tracking. Its also important to note that this bias persists after the recovery of the depressive episode.
The reason that this is important is that those recovering from anxiety and depression have a tendency to believe that they are not doing as well as they are - due to this cognitive bias creating an anti-placebo effect for them, which results in their giving up too soon on interventions which are effective and thus not getting better and regressing to old unpleasant patterns.
It has been interesting since tracking results of my own clients  - I have all of them track scores at the beginning of their sessions on the site moodscope.com at the beginning of their sessions, so that we can see their progress over time with a consistent bias of the time of tracking being start of session (as opposed to other random biases such as wanting to take the quiz when in an especially good or bad mood). I also take extensive notes and track other metrics of progress.
What I've found, is that many clients hit a point after a few weeks or months, where they are questioning if they have made any progress. Because I take metrics to prepare for this, I am able to point my clients at their metrics, and say for example, that according to their self reports, their mood has increased by 50% and their productivity has doubled. What typically happens when I review score + notes with the client in question is that once they look back at how things were before compared to how they are now, they realize that they actually have made progress, and this is often followed with additional forward progress.
It is interesting to put this in perspective with the hedonic treadmill . The hedonic treadmill is the supposed tendency of humans to quickly return to a relatively stable level of happiness despite major positive or negative events or life changes. What I'm finding with my studies is that it is often true for people recovering from depression when they take an overall evaluation (go meta), especially from a low point, but that when they look back at the factors that have changed, and they take the mood score test looking at different aspects of their experience on moodscope.com, they actually do have a more positive life experience when measured this way. When I point out the inconsistency, people generally determine that the moodscope.com reported experience is more accurate (especially when supplemented by going over session notes) and over time, most clients do get off the hedonic treadmill and proceed to having the meta level catch up with moodscope.com.
The good news about this for people suffering from anxiety and depression at large: If you are aware of the negative cognitive bias and anti-placebo effect, you can take steps to account for and correct this bias. One of the best ways to do this is by taking metrics along with notes that you can look at later. When you look back, look at what your overall trend is, and try to focus on that more than if you happened to have a bad day or week. If you have been progressing with a good linear regression, odds are that if you don't give up the new better patterns and habits you have created, they will continue to serve you. Although external factors to the one variable you are studying do complicate this and need to be taken into account.