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Foreign agents tried to hypnotize Steed for interrogation in series 1 episode Tunnel of Fear, but Steed had been trained to resist this form of questioning because he told them nothing but nonsense.

Charles informs Mrs. Gale in Man With Two Shadows that Steed is the only agent whoever managed to escape the “other site “after he had been captured and interrogated for four days. Steed knows that he would get brainwashed and would have a similar fate as Borowski if they would ever win him again. Steed is showing a strong emotional reaction, a mixture of horror, loathing, and pity as he realizes that he could have been the guinea pig instead of Borowski.

In series 3 episode The Wringer is Steed in the hand of a former ministry facility that initially was supposed to deal with agents who lost their usefulness or who were traitors. Steed finds out that they brainwash people there and that Bethune and Wringer are up to no good. John Steed is in her hands at the facility for two weeks, and they start to brainwash him by feeding information into him. Torture methods such as sleep deprivation are causing confusion, hallucinations, disorientation, and even Mrs. Gale is convinced that Steed has reached a state of complete apathy. Despite Steed being affected by the two weeks of imprisonment in the hands of  Wringer, he’s not way out as Wringer  thinks.

Too Many Christmas Trees - During the episode, Steed has several frightening nightmares. At his flat, the agent awakes from a Father Christmas nightmare and informs a concerned Mrs. Peel that he did not sleep well for several weeks. Later he has a second nightmare while resting on his sofa before Mrs. Peel wakes him up. A third nightmare, in which Steed gets decapitated, happens after his arrival at Brandon Storey's house. Still, after that nightmare, Steed is finally able to fight the group of telepaths who are after the secrets Steed carries in his mind. After the death of his friend, Freddy Cartwright Steed had already realized that something must be going on, and in the end, he's able to kill the head of the group, Brandon Storey.

Death's Door - Steed enters "Nightmare Alley" when eastern agents manufacture a nightmare that strongly conditioned English diplomats not to go to an important conference.
At the end of the episode, Mrs. Peel awakes Steed, who's sleeping on his Chesterfield and is having an enjoyable erotic dream - being in a harem.

To Catch A Rat - Steed confronts the Minister with his suspicions. "You see my position, Minister, I have to suspect everyone. My recurring nightmare is that one day I may have to arrest myself."
Steed in the hands of The Wringer
Man With Two Shadows
The Forget-Me-Knot - Unknown to everyone, the ministry has a rotten apple inside. Sean Mortimer, a colleague of Steed, finds out, but due to amnesia-inducing drugs, he is no longer able to inform Steed about it. Later Steed and Mrs. Peel get infected by the drugs, but Steed can remember Mrs. Peel’s face, and bit by bit, he gets back his memories.

Stay Tuned - On the day when Steed intends to go on a three weeks holiday, he gets kidnapped, and foreign agents try to condition him to kill Mother the moment he’ll hear the word “Bacchus. “ Tara helps him to get back his memories.

TNA-Angels of Death - After the death of fifteen colleagues of Steed within two years, the ministry gets suspicious. While Steed tries to find information on a so-called “health farm, “he gets drugged and has to recall his training as a younger agent to fight the effects of the drug.
Too Many Christmas Dreams
Death's Door
The Forget-Me-Knot Stay Tuned Stay Tuned
But what is a true nightmare scenario for John Steed? Not having a drop of Champagne at home! (The Fear Merchants).
Steed fears for Mrs. Peel in The Fear Merchants.
"Fear of death makes a man obey. His very presence here demonstrates his fear for you!"

Steed does not like dimmed rooms. (Stay Tuned)

Steed fears (from experience) torture. Shelley is about to torture him at the dentist's surgery. (The Mauritius Penny)

Steed faces his fears:

"Because of Berlin, it was years ago, the first time I went over the wall. I picked up three bullets and a fractured tight. Traumatic. I felt like jelly. As soon as I could walk, they made me go over it again. The best way to destroy a fear is to face it, you see". (TNA Obsession).

Steed's fears
Death's Door dream
Telepathic Steed? An analysis of the dreams in the series 4 episode "Too Many ChristmasTrees" and the question, if Steed is telepathic
on the Wordpress blog Feather Dusters at 400 yards
Steed's Biography -
Dreams, Fears, Nightmares and Memories