This study aims to investigate whether HCWs infected with COVID-19 may experience potential psychological consequences and a higher incidence of depression, anxiety, work-related stress, and burnout compared to non-infected HCWs. A case–control study with 774 participants was conducted comparing COVID-19-infected HCWs (cases) and non-infected HCWs (controls) from the Occupational Medicine Unit at the Teaching Hospital Policlinico Umberto I, who were administered the same questionnaire including Hospital Anxiety and Depression Scale, Copenhagen Burnout Inventory and Karasek’s Job Content Questionnaire. No differences in the levels of burnout and decision latitude were found between the two groups. Cases showed higher level of anxiety and job demand compared to controls. In contrast, levels of depression in the case group were significantly lower compared to the control group. The results are indicating the need for workplace health promotion activities based on stress and burnout management and prevention. Multiple organizational and work-related interventions can lower the impact of mental health-related issues in the COVID-19 pandemics, including the improvement of workplace infrastructures, as well as the adoption of correct and shared anti-contagion measures, which must include regular personal protective equipment supply, and the adoption of training programs that deal with mental health-related issues.