Studies examining occupational class differences in burnout symptoms across employment sectors are scarce. The aim of this study was to examine whether occupational class is associated with emotional exhaustion, and whether there are differences in the examined associations between employment sectors. A further aim was to examine to which extent psychosocial working conditions may explain these associations. Survey data were collected in 2017 among 19–39-year-old employees of the City of Helsinki (4630 women and 1267 men, response rate 51.5%). Occupational class included four classes: 1. manuals, 2. routine non-manuals, 3. semi-professionals, 4. managers and professionals. Employment sector was classified into three groups: 1. health and social care, 2. education and 3. ‘other’. Linear regression analysis and IBM SPSS 25 statistical program were used. The analytical sample included 4883 participants. The highest occupational class, i.e. managers and professionals, reported the highest emotional exhaustion. In terms of the sector, those working in education had the highest scores of emotional exhaustion. The associations between occupational class and emotional exhaustion differed somewhat between the sectors. Adjustment for job demands attenuated the differences in emotional exhaustion between occupational classes, whereas adjustment for job control and job strain widened the differences. Attention should be paid to occupations with excess mental demands, and to employees in the education sector, who showed the highest risk of emotional exhaustion.