School leadership is a demanding job. Those involved in school leadership have shown to experience high levels of work stress that may, if prolonged, result in burnout. The purpose of this study was to examine school leaders' risks of burnout in terms of work stress and burnout symptoms, and their relationship with proactive self-regulation strategies. The participants consisted of 420 school principals and teachers with leadership duties (henceforth: principals). The survey data consisted of Likert-type statements and were analysed by hierarchical and K-means cluster analysis, and one-way analysis of variances. The results suggested that principals experience relatively low levels of work stress and burnout, and utilise several proactive self-regulation strategies. On the basis of cluster analysis, four "risk of burnout profiles" were identified. The profiles differed from each other in terms of proactive self-regulation strategies. The use of these strategies was related to a reduced risk of burnout.