Identifying mechanisms that explain the relationship between anxiety and depression are needed. The Tripartite Model is one model that has been proposed to help explain the association between these two problems, positing a shared component called negative affect. The objective of the present study was to examine the role of loneliness in relation to anxiety and depression. A total of 10,891 school-based youth (Grades 2-12) and 254 clinical children and adolescents receiving residential treatment (Grades 2-12) completed measures of loneliness, anxiety, depression, and negative affect. The relationships among loneliness, anxiety, depression, and negative affect were examined, including whether loneliness was a significant intervening variable. Various mediational tests converged showing that loneliness was a significant mediator in the relationship between anxiety and depression. This effect was found across children (Grades 2-6) and adolescent (Grades 7-12) school-based youth. In the clinical sample, loneliness was found to be a significant mediator between anxiety and depression, even after introducing negative affect based on the Tripartite Model. Results supported loneliness as a significant risk factor in youths' lives that may result from anxiety and place youth at risk for subsequent depression. Implications related to intervention and prevention in school settings are also discussed.