Burke traveled to Europe twice in the 1930s, first on a Rosenwald fellowship to study sculpture in Vienna in 1933-34. She returned in 1936 to study in Paris with Aristide Maillol. While in Paris she met Henri Matisse, who praised her work. One of her most significant works from this period is "Frau Keller" (1937), a portrait of a German-Jewish woman in response to the rising Nazi threat which would convince Burke to leave Europe later that year. With the onset of World War II, Burke chose to work in a factory as a truck driver for the Brooklyn Navy Yard. It was her opinion that, during the war, "artists should get out of their studios."