Research suggests that loneliness among sexual minority adults is associated with marginalization, but it is unclear which processes may underlie this relationship. This cross-sectional study examined five possibilities: stigma preoccupation, internalized homonegativity, sexual orientation concealment, social anxiety, and social inhibition. The study also examined the possible protective role of LGBTQ community involvement. Respondents were 7856 sexual minority adults aged 18–88 years from 85 countries who completed an online survey. Results of structural equation modeling indicated that marginalization was positively associated with both social and emotional loneliness, and that part of this relationship was indirect via proximal minority stress factors (especially stigma preoccupation) and, in turn, social anxiety and social inhibition. Moreover, while LGBTQ community involvement was associated with greater marginalization, it was also associated with lower levels of proximal stress and both forms of loneliness. Among those who were more involved in the LGBTQ community, the associations between marginalization and proximal stress were somewhat weaker, as were those between stigma preoccupation and social anxiety, and between social inhibition and social loneliness. In contrast, the associations between concealment and social anxiety were somewhat stronger. Model fit and patterns of association were similar after controlling for the possible confounding effect of dispositional negative affectivity, but several coefficients were lower. Findings underscore the continuing need to counter marginalization of sexual minorities, both outside and within the LGBTQ community, and suggest possible avenues for alleviating loneliness at the individual level, such as cognitive-behavioral interventions targeting stigma preoccupation and social anxiety.