This study investigated recursive relations between confidence in achieving work-related goals and work exhaustion among employees who participated in an intervention to reduce their burnout. Thirty-six employees of age 33–59 years suffering from severe burnout (28 females and 8 males) filled in burnout and well-being measures before and after a 10-month therapeutic intervention. They also filled in weekly measures of confidence in work-related goals (progress and capability) and work exhaustion throughout the intervention, as well as 4 weeks before and 4 weeks afterwards. Intra-individual variation was modelled using dynamic factor analyses. The results showed that, for most participants, confidence in work-related goals and work exhaustion during a given week could be predicted from those of the preceding week. Moreover, high self-esteem predicted low weekly stability in goal confidence, whereas high burnout contributed to high weekly stability in work exhaustion. The intra-individual stabilities in goal confidence and exhaustion also predicted which of the participants benefited from the intervention in terms of increasing well-being and decreasing work-related stress.