Competitive sport has the potential to increase chronic stress and, hence, the risk of burnout. The aim of this paper was, first, to examine the relationship between athlete burnout and trait emotional intelligence (TEI) and, second, to look at the mediating role of coping strategies between TEI and athlete burnout. In two samples of athletes (N1 = 290; N2 = 144), we conducted correlation analyses linking dimensions of TEI with athlete burnout and found negative correlations. We then tested a structural equation model in the second sample, hypothesizing an indirect link between TEI and athlete burnout via coping strategies. Results showed a mediation effect of emotion-focused to problem-focused coping between TEI and athlete burnout. Avoidance coping showed a positive direct effect on athlete burnout. Further research should investigate effective coping strategies and clarify whether emotional intelligence training may be used to protect athletes from developing burnout.