In the context of the Coronavirus disease (COVID-19) outbreak, teachers faced unprecedented challenges and threats while implementing distance learning. Consequently, teachers may have experienced emotional exhaustion. The aim of our study was threefold: To explore teachers' threat appraisals, to investigate the relation between teachers' threat appraisals and their emotional exhaustion, and to examine processes protecting teachers from emotional exhaustion. Self-efficacy belief, especially, may have driven teachers' perceptions of distance learning as an opportunity (i.e., distance learning strengths), rather than an impediment (i.e., distance learning weakness) to teaching. During the first wave of COVID-19, Italian teachers (N = 1,036) filled in an online survey. A mixed-method design was used to address our three research aims. Findings indicated that, above and beyond other COVID-19 threats, one third of teachers reported worries, fears, and concerns related to their job (i.e., job-related threats). Furthermore, those who mentioned job-related threats experienced greater emotional exhaustion. Finally, teachers' self-efficacy was related to lower emotional exhaustion both directly and indirectly via teachers' perceptions of distance learning. Indeed, distance learning weaknesses (but not distance learning strengths) mediated the negative relationship between self-efficacy and emotional exhaustion. Altogether, our findings encourage reflection on possible interventions to reduce teachers' job-related threats and help them navigate distance learning effectively.