This study examines the processes underlying the association between job insecurity and emotional exhaustion, proposing that lack of reciprocity in the organizational exchange relationship is a main theoretical explanation for this association. Specifically, based on the social exchange perspective, we compared and tested two distinct mediating mechanisms: psychological contract breach and distributive injustice. These two indicators of lack of reciprocity constitute the explanatory process through which job insecurity relates to emotional exhaustion, the primary component of burnout. Data analyses from a sample of 322 bluecollar workers in Italy confirmed the mediational hypotheses. A contrast test revealed that distributive injustice was the indicator with more explanatory strength. The results contribute to research on the theoretical explanations of the adverse consequences of job insecurity, considering the nature and antecedents of psychological distress from an organizational exchange perspective.