Psychotherapy is an effective treatment for many common mental health problems, but the mechanisms of action and processes of change are unclear, perhaps driven by the focus on a single diagnosis which does not reflect the heterogeneous symptom experiences of many patients. The objective of this study was to better understand therapeutic change, by illustrating how symptoms evolve and interact during psychotherapy. Data from 113,608 patients from psychological therapy services who completed depression and anxiety symptom measures across three to six therapy sessions were analysed. A panel graphical vector-autoregression model was estimated in a model development sample (N = 68,165) and generalizability was tested in a confirmatory model, fitted to a separate (hold-out) sample of patients (N = 45,443). The model displayed an excellent fit and replicated in the confirmatory holdout sample. First, we found that nearly all symptoms were statistically related to each other (i.e. dense connectivity), indicating that no one symptom or association drives change. Second, the structure of symptom interrelations which emerged did not change across sessions. These findings provide a dynamic view of the process of symptom change during psychotherapy and give rise to several causal hypotheses relating to structure, mechanism, and process.