There is a strong relationship between loneliness and depression, but depression is a heterogeneous disorder. We examined the profile of depressive symptoms most strongly related to loneliness. Study participants were 2007 community-dwelling individuals (median age 31 years, 70.4% women) who completed an online survey on loneliness (single-item question: “never”, “sometimes”, “often”), depressive symptoms (Patient Health Questionnaire-9) and demographics. The relationship between loneliness and depressive symptoms was evaluated with linear regression and network analyses. The prevalence of loneliness (sometimes or often) and of moderate depression was 47.1% and 24.0%, respectively. Loneliness explained 26% of the variance in the total depressive symptom score (p < 0.001), independent of covariates. This result was almost exclusively explained by the relationship with a single depression symptom (“feeling down, depressed, or hopeless”), irrespective of whether loneliness was treated as a nominal or continuous variable. The findings of our study suggest that the role of loneliness in depression should not only be investigated at the syndrome level, but also at the symptom level. Studies are warranted to test whether targeted treatment of depressive affect is particularly effective against loneliness.