This study investigated whether gratitude predicted burnout directly and indirectly through coach–athlete relationships. National Collegiate Athletic Association (NCAA) Divisions I (n = 305), II (n = 202), and III (n = 89) student-athletes (N = 596, 76.5% women) completed a survey regarding athlete burnout, coach–athlete relationships, trait gratitude, and state gratitude (sport and general). Structural equation modeling revealed that gratitude predicted athletes’ burnout. Sport state gratitude was the most accurate negative predictor of burnout. In addition, indirect associations between sport state gratitude and burnout emerged through coach–athlete relationships, suggesting that sport state gratitude was positively associated with coach–athlete relationships, which in turn, negatively predicted burnout. Coach–athlete relationships were positively predicted by sport state gratitude. These findings suggest that grateful student-athletes may experience less burnout, and athletes who have strong coach–athlete relationships may experience more gratitude.