The increased scale of cross-border journalistic investigations brings about severe challenges: online harassment, physical violence, legal threats, but also emotional challenges and mental stress that can lead to burnout. The latter has never been the focus of studies on cross-border investigative journalistic collaborations. This paper seeks to fill in this gap and contribute to the understanding of how the cross-border aspects of investigative journalists’ work shape their mental well-being. Based on eighteen semi-structured interviews conducted with investigative journalists across Europe in the first half of 2023, this study addresses the following research questions: What are the specific challenges, threats, and risks encountered by investigative journalists working on cross-border collaborations? How do these challenges and risks affect investigative journalists’ mental well-being? What coping mechanisms do investigative journalists employ? Our findings show that cross-border investigative journalists experience a systemic neglect of mental well-being in the profession. Moreover, journalists face country-specific challenges, stemming from varying legal constraints and disparities in institutional support and protection across countries. The lack of safety measures that protect journalists beyond physical safety, multitasking, and the lack of concern for cross-border investigative journalists’ mental well-being can prove particularly challenging for freelancers. At the same time, the cross-border collaborations are depicted as a source of mutual assistance, protection, and a sense of community among international journalists.