To explore the association between the personal social capital and loneliness among the widowed older adults in China. Data from 1497 widowed older adults were extracted from China’s Health-Related Quality of Life Survey for Older Adults 2018. The Chinese version of the Personal Social Capital Scale (PSCS-16) was used to evaluate the participants’ status of bonding and bridging social capital (BOC and BRC). Loneliness was assessed by the short-form UCLA Loneliness Scale (ULS-8). Multiple linear regression models were established to examine the relationship between social capital and loneliness. The BOC and BRC of rural widowed older people were significantly lower than those of widowed older people in urban areas, while loneliness of rural widowed older people was higher than that of widowed older people in urban areas. The result of the final model showed that loneliness of rural participants was significantly associated with both BOC (B = 0.141, p = 0.001) and BRC (B = −0.116, p = 0.003). The loneliness of the urban widowed sample had no association with both BOC and BRC (p > 0.05). These findings suggested that more social support and compassionate care should be provided to enrich the personal social capital and thus to reduce loneliness of widowed older adults, especially those in rural areas.