Burnout has been defined as a job-related syndrome combining pervasive fatigue and loss of motivation. In recent years, evidence has mounted that burnout may reflect a depressive condition. In this study, we expanded on past investigations of burnout-depression overlap by focusing on interpretation biases toward ambiguous information among the two entities. We conducted a web-based study involving 1056 participants (83% female; mean age: 42.87). Burnout symptoms were assessed with the Shirom-Melamed Burnout Measure and depressive symptoms with the PHQ-9. The Ambiguous Scenarios Test (AST), a measure of interpretation bias validated among dysphoric individuals, was the outcome of interest. The AST consists of 24 scenarios that respondents are requested to imagine and assess in terms of (un)pleasantness. Burnout and depression each correlated moderately and negatively with scenario pleasantness. Participants reporting “high” levels of burnout and depression exhibited a negativity bias when interpreting scenarios whereas participants with either “low” or “medium” levels of burnout and depression exhibited a positivity bias. Remarkably, burnout and depression were similarly associated with the pleasantness of job-related scenarios. Like depression, burnout may involve a propensity to interpret ambiguous information negatively. This study supports the view that burnout is associated with a depressive cognitive style.