Despite agreement on the negative effects of job insecurity, more knowledge needs to be generated on the health effects in terms of burnout and depressive symptoms and for whom job insecurity has these negative effects. The present study aims to investigate the associations between job insecurity and burnout and depressive symptoms respectively, by studying the moderation influences of performance-based self-esteem (PBSE), a form of contingent self-esteem. A population-based sample with 4145 twins was used. The results showed that job insecurity was significantly associated with both burnout and depressive symptoms, and that PBSE acted as a moderator, so that the associations were stronger for individuals with high PBSE than for individuals with low PBSE. The study contributes by including a personality characteristic to gain more knowledge about the mechanisms of job insecurity on mental ill-health, and by illustrating that job insecurity has an impact on severe health outcomes in terms of burnout and depressive symptoms.