Are these sentences OK?
a tennis player etc.
  If I say,
  He really worked hard to improve myself.
  He really worked hard with me to improve myself.

Hi Pelin
Reflexive pronouns have to go with the correct pronoun - e.g. I - myself/you - yourself/He - himself etc
Or with the object pronoun me - myself/him - himself

He really helped me to improve myself

More of a natural sentence would be, He really helped me to improve my tennis.

Siobhan :)