Loneliness is prevalent among individuals with mental illnesses. This cross-sectional survey study examined the moderating effects of self-esteem and perceived support from families and friends on the association of loneliness with suicide risk and depression in individuals with schizophrenia. In total, 300 participants (267 with schizophrenia and 33 with schizoaffective disorder) completed the University of California, Los Angeles, Loneliness Scale (Version 3); suicide module of the Mini International Neuropsychiatric Interview; Center for Epidemiologic Studies Depression Scale; Family and Friend Adaptability, Partnership, Growth, Affection, and Resolve Index; and Rosenberg Self-Esteem Scale. Moderation analysis was performed to examine the moderating effects of self-esteem and perceived support from families and friends on the association of loneliness with suicide risk and depression. The results found that self-esteem was significantly associated with a reduced magnitude of depression in participants with loneliness. In addition, perceived support from friends was significantly associated with a reduced magnitude of suicide risk in participants with loneliness. Our findings indicate the importance of intervention programs that strengthen support from friends and self-esteem in reducing suicide risk and depression among lonely individuals with schizophrenia.