Burnout is a significant issue among healthcare professionals, particularly nurses, due to high workloads and emotional demands. However, limited research has explored burnout among primary healthcare nurses in Saudi Arabia, who play a vital role in healthcare delivery. This study aims to address this gap by investigating burnout levels and their association with anxiety, depression and self‐efficacy among primary healthcare nurses. A cross‐sectional survey design was employed, with 161 primary healthcare nurses from the Qassim region, Saudi Arabia. Data were collected using the Maslach Burnout Inventory, the Patient Health Questionnaire‐4 and the General Self‐Efficacy Scale. Pearson correlation and logistic regression were used to analyse the associations between study variables. A high prevalence of burnout risk (78.9%) was observed. Emotional exhaustion was detected in 35.4%, depersonalisation in 44.7% and low personal accomplishment in 57.8%. Anxiety (r = 0.707, p < 0.01) and depression (r = 0.564, p < 0.01) were positively correlated with emotional exhaustion, while self‐efficacy was negatively correlated (r = −0.260, p < 0.05). Logistic regression analysis revealed that anxiety (OR = 5.784, 95% CI: 2.056–16.269) and low self‐efficacy (OR = 6.625, 95% CI: 2.979–14.737) were significant predictors of burnout. Targeted interventions are essential to mitigate burnout among primary healthcare nurses. Specific measures could include mindfulness‐based stress reduction programmes to address emotional exhaustion, peer support sessions to reduce depersonalisation and skill‐building workshops to enhance self‐efficacy. These interventions can improve nurse well‐being and ensure sustainable healthcare delivery in primary care settings.