Background: It is common knowledge that first responders are among the helping professionals most at risk of burnout and psychological vulnerability. During the COVID-19 pandemic, their mental health has been subjected to various risk factors. Methods: Data on socio-demographic characteristics, the Maslach Burnout Inventory (MBI) and psychological vulnerability (SCL-90-R) were obtained from 228 subjects (55.3% female; M age = 45.23, SD = 13.14) grouped on the basis of their actual involvement during the emergency phases (82% First Responders and 18% Second Responders). Results: First responders exceeded the MBI clinical cut-off, while SRs did not (χ² ≥ 0.5); specifically, EE = 89.8%, DP = 85.8%, and PA = 82.1%. The FR group showed a higher mean in the global severity index (GSI = 49.37) than did the SRs (=43.95), and the FR group exceeded the clinical cut-off in the SCL-90-R scales of SOM (51.06), ANX (52.40), and PHOB (53.60), while the SF group did so only for the PHOB scale (50.41). The MBI dimensions correlated significantly (p = 0.05) with all investigated clinical scales of the SCL-90-R. Conclusions: Emergency situations expose first responders to specific risk factors related to work performance and relational aspects, which contribute to increased psychological vulnerability and burnout.