Among the many workplace stressors, a new type of stressor has been identified: illegitimate tasks. This newly identified type of stressor refers to work tasks that do not meet employee role expectations and constitute a violation of professional identity. To investigate illegitimate tasks’ mediating mechanisms and boundary conditions on job burnout, we examined a cross-level first-stage moderated mediation model with the collective climate as a moderator and psychological entitlement as a mediator. Grounded in the job demands–resources model (JD-R) and justice theory, the current study uniquely posits that illegitimate tasks can lead to burnout by way of psychological entitlement; however, this effect is less where collective climate is higher. Data were collected from 459 employees on 89 teams at enterprises in China. The results of the analysis, using HLM, MPLUS and SPSS revealed that illegitimate tasks stimulated employees’ psychological entitlement and led to job burnout. While employees’ psychological entitlement played a partially mediating role between illegitimate tasks and job burnout, a collective climate could weaken the stimulating effect of illegitimate tasks on employees’ psychological entitlement and then negatively affect the mediating effect of psychological entitlement between illegitimate tasks and burnout. The study reveals the antecedents of burnout from the perspective of job tasks and psychological entitlement, offers practical insight into the mechanism of illegitimate tasks on employee job burnout and recommends that organizations develop a collective climate to reduce employees’ psychological entitlement and job burnout for steady development of the enterprise.