Very few studies have been concerned with assessing the prevalence of burnout and depressive symptoms, especially during an infectious outbreak on non-frontline health care workers, such as a psychiatrist. In such instances, the role of psychiatrists and other mental health providers as a source of psychological support to the public and frontline workers is indispensable and valuable. This study aims to assess the prevalence of burnout and depressive symptoms, and their correlation, during the COVID-19 pandemic among psychiatry residents in Saudi Arabia. A total of 121 out of 150 psychiatry residents in Saudi Arabia completed the Maslach Burnout Inventory and Patient’s Health Questionnaire for the assessment of burnout and depressive symptoms. Burnout symptoms were found in 27.3%, and another 27.3% reported having depression symptoms. In addition, 16.5% reported having both burnout and depressive symptoms, with a significant relationship between them. Participants in the first 2 years of training and having a history of receiving mental health treatment in the past 2 years were at higher risk. The need is urgent to increase investment in mental health services and to construct a plan to reduce this risk of burnout and depression among psychiatrists by developing preventative strategies to prevent burnout and promote wellness is more important than ever.