The combination of artificial intelligence (AI) technology with the real economy has dramatically improved the efficiency of enterprises. However, the replacement of AI for employment also significantly impacts employees’ cognition and psychological state. Based on the Conservation of Resources Theory, the relationship between AI awareness and employee depression is explored in this article while examining the mediating role of emotional exhaustion, as well as the moderating role of perceived organizational support. Based on a sample of 321 respondents, the empirical results show that (1) AI awareness is significantly positively correlated with depression; (2) emotional exhaustion plays a mediating role between AI awareness and depression; (3) perceived organizational support negatively moderates the relationship between emotional exhaustion and depression; (4) perceived organizational support negatively moderates the mediating role of emotional exhaustion between AI awareness and depression. The research conclusions provide a theoretical basis for organizations to take measures to intervene in the negative impact of changes in AI technology on employees’ mental health.