Although job burnout is common among bank employees, few studies have explored positive resources for combating burnout in this population. This study aims to explore the relationship between occupational stress and job burnout among Chinese bank employees, and particularly the mediating role of psychological capital. A cross-sectional study was conducted in Liaoning, China, during June to August of 2013. A questionnaire that included the effort-reward imbalance scale, the Psychological Capital Questionnaire and the Maslach Burnout Inventory-General Survey, as well as demographic and working factors, was distributed to 1739 employees of state-owned banks. This yielded 1239 effective respondents (467 men, 772 women). Asymptotic and resampling strategies explored the mediating role of psychological capital in the relationship between occupational stress and job burnout. Both extrinsic effort and overcommitment were positively associated with emotional exhaustion and depersonalisation. Meanwhile, reward was negatively associated with emotional exhaustion and depersonalisation, but positively associated with personal accomplishment. There was a gender difference in the mediating role of Psychological capital on the occupational stress-job burnout. In male bank employees, Psychological capital mediated the relationships of extrinsic effort and reward with emotional exhaustion and depersonalization; in female bank employees, it partially mediated the relationships of extrinsic effort, reward and overcommitment with emotional exhaustion and depersonalisation, as well as the relationship between reward and personal accomplishment. Psychological capital was generally a mediator between occupational stress and job burnout among Chinese bank employees. Psychological capital may be a potential positive resource in reducing the negative effects of occupational stress on job burnout and relieving job burnout among bank employees, especially female bank employees.