These are the Rebbe's letters to individuals about their own situations. Throughout, the Rebbe instructed people to consult an expert doctor and follow his guidance; anyone facing a medical question should do the same. For emotional or mental health difficulties, that includes a qualified mental health professional.
The Rebbe's guidance to people struggling with nerves, worry, low mood and sleep:
Take the medical side seriously. Follow the doctor's guidance, and where medication is helping, continue it with patience (IK 3723, 3963, 10855). Before any irreversible psychiatric procedure, consult carefully and exhaust the alternatives first (IK 6358, 6429). The emotional state and the physical state affect each other, including through diet and routine (IK 5978, 6314, 2055).
Don't let sadness settle in; actively push it away. The Rebbe describes sadness and melancholy as a tactic of the yetzer hara, to be countered rather than indulged. Redirect the mind to Torah study, especially Chassidus, and to Hashem's kindnesses (IK 1235, 2299, 2550, 2598, 3963, 5047, 8317). Being honest about how one feels is where healing begins (IK 5047). Supportive friends help (IK 3723).
For nerves and worry: strengthen trust in Hashem, serve Hashem with joy, and use distraction and positive activity rather than dwelling on the problem (IK 2528, 4994, 5642, 6524, 8804). Headaches and similar complaints often come from overthinking and nerves (IK 1615).
For obsessive worries, including religious scruples: don't argue with them, ignore them and move on, while caring for one's physical health and seeking medical advice (IK 10951). Worrying about one's faith is itself a sign of inner emunah (IK 6475).
For sleep: prepare before going to bed with the bedtime Shema, a kosher tallis katan, and reviewing some Torah learned by heart (IK 928, 4302).
See also: בריאות – ביטחון ותחשוב טוב, on worry about one's health.