Does therapy work?

I'd like to know your experiences with therapists or psychologists.

I've noticed that I have some internal issues that I'm not really sure how to address. My self esteem is pretty low and I have a tendency to take everything (even compliments) the wrong way and react to them in an exagerrated manner. (My dad said I was annoying because I keep dyeing my hair and I cried really hard. My partner said I was pretty but I always get angry and accusing him of lying.) I also have a tendency of trying to control my partner. (Told him to delete all girls from Facebook, told him he can't talk to me about his mother or sisters, he can't talk to other females while I'm around etc.) I get angry over little things. I get really sad over little things. I punch myself in the head and face when I'm upset with myself.

I know these behaviors aren't healthy so I want help. I went to a psychiatrist a few months ago and I wasn't diagnosed with anything but she suggested therapy. From your experiences, do you think therapy would help lessen my bad behavior?
Does therapy work?
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