Strong relationship exists between loneliness and depression in older adults. However, the effect of multifaceted social relationships on the relationship between loneliness and depression has not been explored. The purpose of the current study was to find out how multifaceted social relationships affect the aforementioned processes. We investigated and evaluated the loneliness status, depression symptoms, social relationships, and demographic information of 1116 older adults aged ≥65 years living in rural Japan. The final 555 participants were included in the analysis. Statistical evidence showed a direct effect between loneliness and depression symptoms. Additionally, the mediation model found that social curiosity and participation acted as mediators between loneliness and depression symptoms. Further, independence and participation, independence, and feeling safe played a conditional moderating role in the model of loneliness–social curiosity–depression symptoms and loneliness–participation–depression symptoms, respectively. Interaction can be an individual moderator in the link between loneliness and depression symptoms without any mediator. The moderated mediation model suggests that social curiosity and participation could mediate the association between loneliness and depression symptoms. In this process, independence, participation, and feeling safe may act as moderators.