To verify the role played by burnout in the prediction of alcohol consumption, considering the integration of the theory of job demands-resources (JD-R) and sociocognitive theory (SCT), we developed an analytical model in which self-efficacy and depression act as mediators of this relationship. A cross-sectional online survey was taken by 3856 workers enrolled in various public agencies of the Mexican Health Ministry during the COVID-19 pandemic in Mexico. The results indicate that of the three dimensions of burnout, only depersonalization predicts alcohol consumption; however, self-efficacy regulates the effect of emotional exhaustion and achievement dissatisfaction on alcohol consumption. Similarly, the three components of burnout have indirect effects through depression, suggesting that depression and self-efficacy mediate the relationship between burnout and alcohol consumption. Burnout alone cannot explain alcohol consumption, but when depression is present, burnout increases the predisposition to consume alcohol; when self-efficacy is present, the probability of alcohol consumption decreases.