The talk show host has regular chats with his therapist through iChat and he says the sessions have helped him accept his flaws in life.
He said: "I've learned that anxiety affects almost every decision I make. I've learned about boundaries, though I still have trouble enforcing them. I have a hard time saying no to people. I've learned that most arguments have little to do with what you're arguing about - that what people want most is to know they're being heard. Through most of my life, my goal was to 'win' an argument. I was missing the point. That realisation has been a great help to me. And I will fight to the death any man who dares say it hasn't."
However, Jimmy admits he still finds it hard to relax when he's not working as he can always find something to do.
He told Playboy magazine: "Overall I enjoy life, but I also have too much work to do. Whenever I'm relaxing I feel like I'm being lazy - that there's something I need to attend to.
"I'm almost always preoccupied, like I'm nearly drowning at all times when it comes to work and returning e-mails and revising scripts and on and on. The only way to alleviate that anxiety for me is to get stuff done.
"Theoretically if I didn't have as much work to do I could relax. Who knows what the reality would be without the work? What I do know is when I go on vacation I'm quite able to enjoy myself. If I go away and don't have any deadlines looming, then no problem."