Few studies have focused on burnout among vocational students. This study examined the association between burnout and mental health among 56 Swiss vocational students (29 males, 27 females, M = 18.1, SD = 1.2 years) and tested whether recommended levels of moderate-to-vigorous physical activity (MVPA) attenuate this relationship. Burnout was strongly associated with increased depressive symptoms and decreased levels of life satisfaction, mental toughness, and quality of sleep. Students above recommended levels of MVPA reported lower burnout and higher mental health. No significant moderator effects were observed. Symptoms of burnout were associated with increased mental health problems. Physical activity should be promoted to prevent burnout, because nearly half of the students did not meet MVPA recommendations.