Abstract: The Italian army played a crucial role in addressing the COVID-19 pandemic by supplying the country with military personnel, sanitary specialists, equipment, and infrastructure. This is the first Italian study involving the entire population of the National Armed forces with the aim of investigating the psychological factors that can protect or pose risks in effectively managing heightened distress. We explored how coping capability and the capacity to face uncertainty can contribute to predicting levels of burnout during the COVID-19 pandemic. A total of 4409 Italian military personnel completed questionnaires assessing burnout, coping style, and intolerance of uncertainty. In addition to the Burnout cut-off levels, a cluster analysis was conducted, integrating the variables of Depersonalization, Emotional Exhaustion, and Personal Gratification in order to identify risk profiles and specific characteristics. Based on the Burnout cut-off levels, military personnel are experiencing higher levels of burnout in the Personal Accomplishment dimension by 23.34% compared to other factors. The application of cluster analysis methodology revealed interesting results: four distinct clusters differed in terms of working factors, intolerance to uncertainty, and coping style. According to regression analysis, the most significant predictors of burnout were emotional-oriented coping and tolerance to uncertainty. The avoidance strategy demonstrated a specific coping function within the Armed Force, distinct from other populations. This study demonstrated that the most effective strategies for preventing burnout are task-oriented coping and tolerating uncertainty. These results implied specific training focusing on the competences could prevent burnout.