Wellll... depends what you mean by psychoanalysis.
Like corruption said, psychoanalysis was based on a lot of Sigmun Freud's stuff- however, there are a lot of different ideas in psychology, Freud has just become more well known in media.
If you mean just 'visiting a psychologist', yes I have done that. However, the intial 'analysis' part was done by my doctor. It was essentially filling in a questionnaire. I'm not sure how the scoring system works, but apparently I got high enough scores to be diagnosed and sent off to a psychologist. The psychologist asked me a lot of questions during the first appointment, getting a lot of stuff off my chest etc. She was generally asking questions about my home life, work, education etc., about how my life was going and my relationships with others, to see what factors could be affecting my illness. The rest of the appointments were CBT (cognitive behaviour therapy) in which she taught me skills I could use to manage mental illness. During the final appointment I filled in another questionnaire, and was officially 'cured'.
However, the above experience might not be true for everyone who's ever been to a psychologist. My psychologist used CBT, others might do things differently. There are lots of different methods and thinking on how to do things, because psychology is a fairly new science.
Hope this helped!