Burnham was the honorary chairman of Leigh Centurions for a short time and is now an honorary vice-president. Burnham was a talented junior cricketer (playing for Lancashire CCC Juniors) and keen footballer, and competed at both sports for his college. He has played for Labour's "Demon Eyes" football team and is a lifelong fan of Premier League football club Everton. In July 2003, Burnham played for Conference club Leigh RMI in a pre-season friendly against Everton. He came on as an 88th minute substitute for Neil Robinson in the 1–1 draw at Hilton Park.