The COVID-19 pandemic has tested the performance of hospitals and intensive care units around the world. Health care workers (HCWs) have been used to developmental symptoms, but this was especially true during the COVID-19 pandemic when HCWs have been faced with many other sources of stress and anxiety that can usually be avoided. Moreover, long-term shifts and unprecedented population restrictions have weakened people’s ability to cope with stress. The research aims to observe the dynamic interplay between burnout, depression, distress, and anxiety in HCWs working in various settings, with specific a focus on emotional exhaustion, depersonalization, and a diminished sense of personal achievement in mediating a worse mental health status during the first wave of the COVID-19 pandemic in Italy. We performed a mediation analysis, which resulted in a strong correlation among depression, psychological distress, health perception and anxiety, and the impact of job burnout on anxiety, depression, and distress. Gender seemed to have a strong correlation with burnout, anxiety, and distress; the impact of the COVID-19 pandemic on Quality of Life seemed to affect anxiety and depression; the possible changes in job tasks and duties (intended as a change in work area or location and role change)influenced depression and job burnout. Encouraging supportive and educational strategies would be recommended to policymakers.