Cognitive-behavioral therapy can be done on yourself, although it will work best with the guidance of a trained and experienced therapist.  The research that shows CBT to be most effective involved individuals working with trained therapists.  However, CBT involves doing “homework” exercises outside of therapy sessions and places an emphasis on teaching the client to become his or her own therapist once therapy is over.
If you would like to try CBT on your own, there are some excellent CBT self-help books, including Feeling Good: The New Mood Therapy by David D. Burns, M.D. and The Anxiety & Worry Workbook: The Cognitive Behavioral Solution by David A. Clark, Ph.D. and Aaron T. Beck, M.D.