You'll need to take a look at your Insurance booklet to find out (or ask your Human Resource dept if you feel comfortable doing that.
If you are in the U.S. you should have a "Plan Document" that tells you whether you need to be referred by your GP to have Psychiatric charges paid by insurance.
The Plan Document is the one that explains who is eligible, what is excluded, what's "in-network" and what is out, etc.
If you are from England or Canada we'll have to see if someone from there knows!