Background: Loneliness in older people seems to have emerged as an increasingly prevalent social problem. Objective: To apply a machine learning (ML) algorithm to the task of understanding the influence of sociodemographic variables, physical fitness, physical activity levels (PAL), and sedentary behavior (SB) on the loneliness feelings of physically trained older people. Materials and Methods: The UCLA loneliness scale was used to evaluate loneliness, the Functional Fitness Test Battery was used to evaluate the correlation of sociodemographic variables, physical fitness, PAL, and SB in the loneliness feelings scores of 23 trained older people (19 women and 4 men). For this purpose, a naive Bayes ML algorithm was applied. Results: After analysis, we inferred that aerobic fitness (AF), hand grip strength (HG), and upper limb strength (ULS) comprised the most relevant variables panel to cause high participant loneliness with 100% accuracy and F-1 score. Conclusions: The naive Bayes algorithm with leave-one-out cross-validation (LOOCV) predicted loneliness in trained older with a high precision. In addition, AF was the most potent variable in reducing loneliness risk.