Objective: The primary aim of this research was to explore the relationship between burnout and depression among Australian psychologists, and to investigate the role of self-compassion in this relationship. Method: A sample of 248 psychologists (average 41 years old; 81.1% female) currently working in Australia completed an on-line survey including measures of burnout (Copenhagen Burnout Inventory), depression (Depression Anxiety Stress Scale), and self-compassion (Self-Compassion Scale–Short Form). Results: In total 69 psychologists (27.8%) met criteria for burnout, while 42 (16.9%) reported at least mild depressive symptoms. Burnout and depression were significantly associated with each other (r = .44), while negative medium associations were found between self-compassion and burnout and depression (r = .48), respectively. A hierarchical regression analysis revealed self-compassion moderated the relationship between burnout and depression; psychologists with high levels of burnout and low to moderate levels of self-compassion reported significantly higher levels of depressive symptoms. Conclusions: The current results indicate that self-compassion may act as a protective factor against the effects of depression and burnout. Given elevated burnout and depressive symptoms reported by Australian psychologists, the development and promotion of self-compassion focused self-care practices for psychologists may be beneficial and warrants further research. KEY POINTS What is already known about this topic: Burnout and depression are highly prevalent among psychologists. Self-compassion is associated with enhanced psychological health and well-being. Self-compassion can buffer against negative states. What this topic adds: Psychologists who are more self-compassionate experience lower levels of burnout and depressive symptoms. For psychologists with high levels of burnout, the practice of self-compassion can significantly lower the severity of depressive symptoms experienced. Self-compassion may be a useful self-care tool to reduce psychological distress.