While there is a growing body of research concerning the well-being of music students, burnout and engagement remain largely unexplored. Likewise, cross-national variations in approaches to music education, and different educational experiences of men and women may influence burnout and engagement. This preliminary study aimed to inform further research by establishing the levels of, and exploring cross-national and sex differences in burnout and engagement in music performance students at conservatoires in Australia, Poland and the UK (n = 331). Self-reported levels of burnout were, typically, low to moderate. Nevertheless, one in ten students reported symptoms such that they could be classified as burned out. Australian and UK students displayed more burnout than students in Poland, although Australian students reported lower levels of reduced sense of accomplishment than Polish and UK students. Self-reported engagement was, typically, moderate to high. Students in Poland reported higher levels of engagement than those in the UK. Women displayed higher levels of global burnout and emotional/physical exhaustion, while men reported lower levels of reduced sense of accomplishment. Further research on burnout and engagement could build on this investigation to gain a better understanding of their impact and the influence of the educational experience on students' music-related well-being.