ObjectivesWe aimed to investigate the mechanisms underlying loneliness, social anxiety, depression and emotion dysregulation, as well as how these relationships differ based on social isolation risk.DesignWe employed an online survey study to measure variables cross‐sectionally.MethodsA total of 1239 (77.2% Female, Mage = 21.52, SD = 2.32) participants completed measures of loneliness, social isolation risk, social anxiety, depression and emotion dysregulation. A moderated serial mediation model was conducted to determine whether emotion dysregulation and depression jointly mediate the relationship between loneliness and social anxiety and to determine whether these relationships are moderated by risk of social isolation.ResultsLoneliness was found to predict social anxiety and was mediated by emotion dysregulation and depression both independently and combined. Participants with a low risk of social isolation were found to be protected against poor mental health.ConclusionsOur studies replicate previous findings showing a relationship between loneliness and social anxiety. We also extend current knowledge to show the importance of social contact for protecting against elevated levels of social anxiety and depression. Overall, we provide empirical evidence for the role of social connection in managing mental health symptoms.