Bunn, who is on loan with the Blades until the end of the season, was dropped by manager Kevin Blackwell in October and looked set to return to Blackburn.
However, Bunn visited psychologist Laura Wolfenden, who has previously helped Great Britain's Olympic squad and England goalkeeper Scott Carson, and has never looked back.
"I had a rocky patch but I feel I am playing a lot better now thanks to the weekly sessions," he revealed. "We talk about the feelings I have on the pitch and how to block out nerves. It's also about coping before and after the game and not letting mistakes affect you.
"Some of the lads say it's not for them but you never know unless you try," he added. "She gives me advice and listens and tries to help you cope with situations in the best way possible."
Bunn returned to the first team after injuries to Ian Bennett and Carl Ikeme and is now a key figure in the club's push for play-off qualification.
The Blades visit Peterborough before hosting Plymouth Argyle at Bramall Lane next weekend. Bunn says it is imperative to win both games against the Championship strugglers to stay in the promotion race
"If we do that, it will put us in good shape for the play-offs," he added.
"We know it's going to be tough but we have a good squad and I think we will do it."