According to Cognitive Theory we are not aware of the connection between our thoughts and emotions because the situation is so absorbing. Even if we are aware of our thoughts we seldom stop to question if they are accurate.
Research has shown that much of negative emotion is related to inaccurate thinking. Cognitive therapy involves learning skills that allow you to see the connection between thoughts and upsetting feelings, to appraise the accuracy of these thoughts that are creating upsetting feelings, and if they are inaccurate, to make them more accurate.