Client engagement in psychotherapy can be defined as intense involvement with the therapy tasks and materials, and presence with the therapist and the self. Client engagement is deemed important in determining the success of the psychotherapeutic process and outcome (Hubble, Duncan and Miller 1999). Client engagement has been investigated most often in the context of its intersection with other client related factors in psychotherapy such as attendance, accessibility, agreement on and completion of the tasks of therapy, or the mutual process of the therapeutic alliance (Tetley et al. 2011; Dew and Bickman 2005). Little is known about clients’ experiences of engagement in psychotherapy and the key issues for clients therein. In this Interpretative Phenomenological Analysis (IPA) study, individual interviews were conducted with five clients who attended psychotherapy in a mental health setting with therapists of varied experience and therapeutic orientations. The transcribed interviews were analysed using the analytic method described by Smith, Flowers and Larkin (2009). The study highlights the complex, evolving and dynamic nature of engagement. It particularly illuminates the profound sense of risk of self-annihilation, through death of the physical self or destruction of the psyche that participants grappled with as they navigated a number of key interconnected dilemmas inherent in engaging in psychotherapy. The study contributes to the field by informing practice concerns such as therapeutic impasse, informed consent and drop-out. It also informs client response to mental health treatment in general in relation to issues such as treatment compliance and decision making. Additionally, the study has implications for training, policy and future research.