Kitten Therapy (Puppy Therapy or Mixed Animals Therapy, on at least one occasion), is PewDiePie's way of handling with his fear. When a game gets too scary for him, he will fear quit the game and go look up pictures of kittens in an attempt to calm himself down.
This has happened only in a few occasions: Once in an Amnesia Custom Story: House of Creep 3, when he got bombarded by a group of Teleporting Naked Guys and then by a flying chair and the other while playing the game Slender, in which Slenderman was always teleporting near him and made him fear quit.
Mixed Animals Therapy made its debut after PewDie died in SCP-087-B, immediately the footage switched to PewDie looking at pictures of pets in costumes like cats and dogs, then sees an orangutan in a shirt and commented: "That was me! That was me 2 seconds ago!," then looked at more pictures of the same type. This happens at around 7:00 in this video.