Should I continue to see someone when it feels painful, I feel as though I'm stuck and getting nowhere

Being in therapy is often about challenging yourself, because trying to change your situation and the way that you think about and do things is frequently very difficult indeed. This means that you cannot always expect counselling or therapy to be an easy experience – although neither should you assume that it will definitely be painful or tiring. But if you find it very stressful or depressing, and appear to be receiving no benefits from it, it is reasonable to ask what purpose there is in continuing.
Clearly there could be many reasons why you are struggling. First and foremost, the model of therapy employed may not be suitable for your problems or may clash with your beliefs. Second, it may not be the correct time to be engaging in therapy – you may be just too tired or over-committed right now. Another reason may be that you have reached a natural finishing point, having done as much as you can at present. This does not mean that more progress could not be made later.
The sense of feeling “stuck”, as though you are on the verge of making a big step forward but cannot quite manage it is quite a common one. (This is especially true of people who have been in counselling for a long time.) Sometimes the process feels like putting together a jigsaw, making sense of the past and present with the help of interlocking ideas and experiences; it is easy to feel that a piece is missing, and to torture yourself because you cannot find it. It may help to acknowledge this openly, or even to take a holiday from therapy.
Deciding when to rest or even when to give up on your therapy is not a precise science. It can be very hard to stop doing something that has helped you. But if the experience has become too negative, it makes no sense to put yourself through suffering just for the sake of it. Therapy may be painful, but it does not have to be – the idea of "no pain, no gain" may be popular, but it is often a mistake. If you are gaining nothing from your sessions, consider whether to change the approach, to take a break, or to stop altogether.