Forest therapy, guided by clinical professionals, is increasingly recognized as a preventive and complementary health practice with evidence-based therapeutic potential; however, the specific contribution of therapist guidance compared to self-guided immersion remains unclear. This retrospective study evaluated the short-term mental health outcomes of therapist-guided (TG) compared to self-guided (SG) forest immersion, based on the validated State–Trait Anxiety Inventory and Profile of Mood States questionnaires. Data were collected from 282 adults participating in eight paired TG–SG sessions conducted at the same forest sites across Italy. Results showed that TG sessions led to greater improvements in state anxiety, self-esteem, and total mood disturbance, with statistically significant effects in most cases. Therapist-led guidance also occasionally reduced interindividual variability, suggesting enhanced emotional regulation. A preliminary economic assessment, based on standardized psychometric improvements translated into quality-adjusted life years (QALYs), indicated that TG sessions yielded approximately 1.7 times higher annual per-person economic value than SG sessions, outweighing the associated therapist-related costs. These findings provide the first large-scale evidence that therapist-guided forest therapy delivers significant and economically quantifiable added value compared to self-guided experiences, supporting its inclusion in preventive health and mental well-being programs and justifying further longitudinal and cost-effectiveness investigations.