During the COVID‐19 pandemic, physical distancing measures to prevent transmission of the virus have been implemented. The effect of physical distancing measures on loneliness especially for vulnerable groups remained unclear. Thus, we aimed to investigate loneliness in relation with depressive symptoms among lesbian, gay, bisexual, trans, inter, asexual, and queer (LGBT) persons compared with cis‐heterosexual persons during the pandemic. We conducted an online survey during the first two waves of the COVID‐19 pandemic in Germany. The survey contained self‐categorizations regarding sexual orientation and gender identity, questions on loneliness, social contacts, depressive symptoms, and healthcare. Descriptive and regression analysis and propensity score matching across cohorts was conducted using R; 2641 participants took part in first wave of the survey and 4143 participants in the second wave. The proportion of lonely people was higher in the second wave compared with the first wave. LGBT persons were more lonely than cis‐heterosexual persons. In both waves, being LGBT was associated with depressive symptoms, but loneliness mediated the effect, even when adjusting for social contacts. Psychologists and other practitioners should be aware that LGBT clients might have an increased risk for loneliness and depressive symptoms and of the potential burden of the pandemic measures.