This study attempted to identify factors affecting depression in relation to loneliness among adolescents. The study participants were 2668 adolescents aged 12 to 18 years who felt stressed and lonely. The variables in this study were classified into sociodemographic and psychological characteristics based on the 16th Korea Youth Risk Behavior Web-Based Survey items. Results revealed that sex, smoking, suicidal ideation, suicide planning, and anxiety were significantly related to depression (p< 0.05) in the group that reported less loneliness. Economic level, alcohol consumption, suicidal ideation, suicide planning, subjective body type, and anxiety were significantly related factors (p< 0.05) in the group that reported feeling very lonely. This study is significant in providing basic data for developing evidence-based strategies to ameliorate depression in adolescents.