In this study, we propose and test the idea that a strong relationship between leader and follower will be associated with the subordinate’s burnout. We base the study on the leader–member exchange framework (LMX), resource exchange theory, and the job demands–resources model of burnout, and conceptualize that a strong LMX is associated with burnout in two ways: high LMX involves high job demands, which lead to exhaustion; low LMX involves low job resources, which leads to cynicism. We propose that the relationship between LMX and the two forms of burnout will be stronger when the leader is perceived to be low on moral integrity. Using a survey of 218 employees, we find support for the hypotheses. Implications for future research and managerial practices are discussed.