Recent studies in different countries indicate that PhD students are more vulnerable to psychological disorders compared to the general population. No such data are available for the Spanish population. This study addresses this issue by studying prevalence rates and factors related to a common response to prolonged stress such as burnout syndrome. Burnout, emotional abilities, resilience, satisfaction with the dissertation advisor, and sociodemographic data were collected from 305 PhD students. The results indicated that the burnout rates are high in this group, especially for the emotional exhaustion dimension. Different linear regression models explained between 14% and 41% of the overall burnout scores variance and its dimensions. The psychological variables and the satisfaction with the dissertation advisor were the most relevant predictors. Consistent with what has been found in other countries, the evidence found indicates that the mental state of PhD students in Spain is alarming. The results of this study have important implications for the design and implementation of interventions to alleviate this problem.