Although research has shown that loneliness in adolescents leads to higher rates of depressive symptoms, the presumed protective factor of social connectedness has not been studied in conjunction with these two constructs. The aim of the present study was to determine if social connectedness would predict lower loneliness and depressive symptoms over time in a large sample of adolescents. A large sample of adolescents (N = 1774; 9-16 years at Time 1) were surveyed three times, separated by one year each, with self-report measures of social connectedness, loneliness, and depressive symptoms obtained. As expected, social connectedness was negatively associated with loneliness and depressive symptoms concurrently and longitudinally. Contrary to prediction, social connectedness did not function as a buffer between loneliness and depressive symptoms over time. However, consistent with prediction, a significant longitudinal mediation pattern was obtained over the three years: the effect of social connectedness on depressive symptoms was mediated by loneliness. Social connectedness at T1 predicted a reduction in loneliness at T2, which in turn predicted a reduction in depressive symptoms at T3. Moderation analyses of this mediation pattern suggested that this obtained mediation result was obtained for males, but not females, and obtained for older adolescents, but not for younger adolescents. The results are congruent with the view that social connectedness exerts an effective protective influence on adolescents against loneliness and depressive symptoms.