Studies have shown strong associations between burnout and depression and burnout and anxiety but their exact interrelationships still remain unclear. Few studies have examined the psychosocial mechanisms that might underlie these two relationships. Non-work social factors such as perceived family support can affect mental health. The present study investigated the distinctiveness and the reciprocal associations between burnout and depression, and burnout and anxiety by collecting data twice over an 8 month interval. Perceived family support was examined as a mediating and a moderating factor underlying the two relationships. The Maslach Burnout Inventory-General Survey, the Hospital Depression and Anxiety Scale, and the Julkunen Family Support Scale were administered to employees of the general working population (N = 52). First, our results revealed moderate associations between burnout and depression, and burnout and anxiety, supporting the distinctiveness of burnout from the two psychological phenomena. Second, the exhaustion and cynicism burnout dimensions showed reciprocal associations with depression. Moreover, anxiety was found to be a consequence of cynicism while it presented reciprocal associations with the exhaustion dimension of burnout. Perceived family support did not mediate the burnout-depression and burnout-anxiety relationships. However, it moderated the depression-exhaustion relationship in a direction opposite from our hypothesis.