Although it is believed that physical activity, sedentary, and dietary behavior (i.e., energy balance-related behavior) may decrease the risk of burn-out, the association between both is currently not well understood. Therefore, the aim of this systematic review was to synthesize studies investigating the relationship between energy balance-related behavior and burn-out risk. A systematic literature search was conducted in four databases, resulting in 25 included studies (ten experimental and 15 observational studies). Nine out of ten experimental studies showed that exercise programs were effective in reducing burn-out risk. Fourteen out of fifteen observational studies found a negative association between physical activity and burn-out risk, whereas one study did not find a relation. Two of the 15 observational studies also showed that being more sedentary was associated with a higher burn-out risk, and two other studies found that a healthier diet was related to a lower burn-out risk. No experimental studies were found for the latter two behaviors. It can be concluded that physical activity may be effective in reducing burn-out risk. The few observational studies linking sedentary and dietary behavior with burn-out risk suggest that being more sedentary and eating less healthy are each associated with higher burn-out risk. More high-quality research is needed to unravel the causal relationship between these two behaviors and burn-out risk.