Hi! This is such an interesting subject! One of the things could be the pressure of the media, like reporters and stuff and having to balance their reputation like stepping on eggshells because the tiniest thing that seems out of line can destroy EVERYTHING for them. Something like an embarrassing photo can leak without them even knowing it was taken (Like the bojack horseman sneezing pic) and haunt them. Paparazzi suck.
It could also be stuff like having to watch their fanbase, contemplate whether or not they should comment on political issues and if they choose not to speak out the pressure of that as well because depending on how famous they are people will expect them to (also the way they respond could also destroy their reputation for a lot of different reasons).
Also the pressure of having to prove themselves and have their work whether it be acting or singing taken seriously by the general public or higher-ups in the industry. Also to set themselves apart from other actors and for beginners the chalelnge of having to compete to get roles of gigs over people who've been there way longer than them.
It's also ruthless. People comment unnecessarily on celebrities bodies and faces. The public's like: "Oh god they're hideous I wouldn't want to date them" for one minute and then turn around and speculate about plastic surgery and then if the celeb caved into the pressure due to`the hurt of all these comments then people are often like: "She looked so much better before, I loved her old nose"
Also having to run anything--or not being able to run anything. Sometimes celebrities, actor or singers, have no control over what projects they take part in or how they're managed. Some don't even have control over how much money they get and no matter how much they earn can still wind up broke because their label and management sucks them dry and then overworks them. Also having no control over television roles or being typecasted.
It's rough :T People forget that celebrities ARE people too and are overly harsh and judgemental as well as obsessive toward them. Also... stalkers.
Also finding jobs can be hard as it is, breaking into the industry is a whole different story.