There are numerous studies investigating the positive effects of empathy upon individuals, whereas less attention has been paid to the potential negative effects (e.g. empathy may lead to emotional exhaustion). Yet, these insufficient research resources focusing on the negative effects of empathy have several limitations. Firstly, previous studies on the negative effects of empathy primarily sampled from typical helping professions, such as medical staffs and psychological consultants. The narrowness in sampling raised concerns on the generalizability of their findings. Secondly, previous studies on the negative effects of empathy seldom distinguished between affective empathy and cognitive empathy, and the measures used in these studies usually confused empathy with other constructs. Thus, the true relationship between different components of empathy and emotional exhaustion was unclear. Thirdly, few studies have examined the mediating processes and the boundary condition between empathy and emotional exhaustion. The present study aimed to explore (1) the relationship between both components of empathy and emotional exhaustion; (2) the moderated mediation effect among affective empathy, emotional exhaustion, emotion labor and social support after controlling for demographic variables. Specifically, this study not only examined the indirect effect of affective empathy on emotional exhaustion via emotion labor, but also examined the moderating effect of social support in this indirect relation. A sample of 253 preschool teachers from 10 kindergartens in mainland China was recruited to complete the Measure of Empathy, Maslach Burnout Inventory-Educators Survey, Emotional Labor Strategy Scale and Perceived Social Support Scale. The results indicated that: (1) Affective empathy was positively associated with emotional exhaustion, while cognitive empathy was negatively associated with emotional exhaustion. (2) Emotional labor played a mediating role between affective empathy and emotional exhaustion. (3) Social support moderated the mediating effect of emotional labor. In the context of low social support, with the increase of emotional labor, preschool teachers’ emotional exhaustion had an ascending trend. However, in the context of high social support, preschool teachers’ emotional exhaustion had no obvious change with the increase of emotional labor. These findings supported our theoretical hypothesis. First of all, the negative effect of empathy was repeatedly verified. Furthermore, the negative effect of empathy stemmed from affective empathy, rather than cognitive empathy. In addition, the ralationship between empathy and emotional exhaustion was complex and would change depending on other factors. The theoretical and practical implications of the results were further discussed. Firstly, due to the opposite result of the relationship between the two components of empathy and emotional exhaustion, preschool teachers should make more use of cognitive empathy, and avoid frequent vicarious experience for preschool children’s negative emotions. Secondly, it is suggested that preschool teachers actively search for social support to supplement their emotional resource consumed by empathy, therefore to prevent emotional exhaustion.