Adventure therapy is the use of adventure experiences to improve mental health. My Time Recovery believes that learning how to enjoy life sober is critical in long term sobriety. The practice is flexible in that it can occur indoors or outdoors and in rural or urban settings. By using experiences that are active and changing, adventure therapy mirrors real-life instances that occur outside the therapy session. Individuals learn coping strategies, and interpersonal skills that they can then apply to their lives outside of treatment.n the client is directly involved in the process.