EEG alpha frequency band biomarkers of depression are widely explored. Due to their trait-like features, they may help distinguish between depressive and burnout symptomatology, which is often referred to as “work-related depression”. The present correlational study strived to examine whether individual alpha frequency (IAF), power, and coherence in the alpha band can provide evidence for establishing burnout as a separate diagnostic entity. Resting EEG (eyes closed) was recorded in 117 individuals (42 males). In addition, the participants filled-out questionnaires of burnout and depression. Regression analyses highlighted the differential value of IAF and power in predicting burnout and depression. IAF was significantly related to depressive symptomatology, whereas power was linked mostly to burnout. Moreover, seven out of twelve interactions between EEG indicators and gender were significant. Connectivity patterns were significant for depression displaying gender-related differences. The results offer tentative support for establishing burnout as a separate clinical syndrome.