Objective The first wave of COVID-19 was challenging for healthcare workers. This study analyzed the ways of coping with stress at a university hospital. Method A Sociodemographic Characterization, Risk and Exposure Assessment, Burnout Assessment Tool (BAT-23), and COVID-19 Coping Scale were responded online by 181 professionals. Results The sample was composed mainly of women, white, married, physicians, with one job. Over 80% of the sample were at high exposure and risk for infection, with 17.1% having tested positive. The most reported stressors were risks of transmitting the disease, being hospitalized, and being separated from loved ones; 11% presented the risk of/probable burnout, with exhaustion and emotional impairment. They presented adaptive coping strategies, such as problem-solving and information-seeking, with a negative correlation between adaptive coping and burnout. Being a physician with maladaptive coping, in psychiatric care, and having religious beliefs were predictors of burnout. Conclusion Promoting adaptive coping may improve the mental health of these workers.