It's a challenge, but it's hardly a show-stopper.
Studies can use active placebo to make patients feel something dramatic. Some times they use drugs like Xanax which induce noticeable sedated states, for example.
Double-blind, placebo controlled studies are the gold standard, but not the only option. It's common to compare against another known-good treatment option. For example, you might structure the study such that one group receives 16 weeks of standard therapy, while the second group receives 16 weeks of the same therapy, but with the addition of of psychedelic sessions on weeks 8 and 12. If the psychedelics have a positive impact, you would expect greater divergence between the two groups after the psychedelic sessions.
Sadly, current studies don't actually point to a significant benefit from psychedelics when compared to standard therapy sessions. In the last study I viewed the used therapy with a few psychedelic sessions, it appeared that the vast majority of improvement came strictly from the therapy, before the psychedelics were even introduced. In fact, from the graph of patient improvement I couldn't tell if the psychedelics had any effect at all. The study basically showed that psychedelics didn't make therapy worse than normal, but that's about it.