This is the question worth getting right, because the answer changes what kind of support actually helps.
The World Health Organisation classifies burnout as an occupational phenomenon — not a mental health diagnosis — defined by three things: feeling drained and depleted, growing cynicism or mental distance from your work, and a sense that what you do doesn't accomplish much anymore. Depression is a recognised clinical condition that isn't tied to one source. The practical difference most people notice: burnout tends to track with a specific stressor, usually work, and can ease when that stressor changes. Depression tends to follow you everywhere — into the parts of life that have nothing to do with what's stressing you — regardless of what changes around you.
I want to be straight with you about something here: that's a useful rule of thumb, not a clean diagnostic line. The two overlap heavily, researchers don't fully agree on where one ends and the other begins, and burnout left unaddressed can genuinely develop into depression. If you're not sure which one you're dealing with, that uncertainty is itself worth taking to a GP or psychologist rather than guessing. Coaching is genuinely useful for burnout. It isn't a substitute for clinical care if what's actually going on is depression — and a good coach should be the first to say so, not the last.