Empirical evidence considers job insecurity as a stressor that leads to poor job-related well-being. With the present study we intend to increase this knowledge by testing how and through what mechanisms job insecurity may give rise to such consequences. In particular, we examined the mediating processes underlying the relationship between job insecurity and emotional exhaustion, as an indicator of psychological well-being and core element of burnout. A total of 322 blue collar workers in Italy are used to test the hypotheses derived from our framework. The results found support for a model in which the effect of job insecurity on exhaustion was mediated by two variables indicating lack of reciprocity, i.e. breached psychological contract and perceived distributive injustice (partial mediational model). Thus, the effect of job insecurity on burnout could partly be interpreted in terms of inequity perceived from the exchange relationship between employee and organization. The tested model provides a theoretical framework that may lead to new insights on the job insecurity-exhaustion relationship and on the development of burnout in the uncertain organizational context. Results are discussed and theoretical and practical implications are suggested.