As a major public health issue, chronic loneliness has been associated with increased mortality and impaired physical and mental health. The proposed model by Cacioppo and Hawkley (Trends in Cognitive Sciences, 13(10), 447–454, 2009) pictures the emergence and maintenance of chronic loneliness as a vicious cycle containing cognitive and behavioral aspects. As a potential source of resilience, self-esteem has been shown to have buffering effects on loneliness. This study aimed to investigate the central relationships between the components within the regulatory loop of loneliness and the potential buffering effect of self-esteem. In this study, a community sample of 436 adult participants completed measures of loneliness, interpretation bias in social situations, social avoidance behavior, self-esteem, and important covariates (including depressive and social anxiety symptoms and social network size). First, we tested bivariant correlations. Subsequently, we tested three mediation models representing the regulatory loop of loneliness. Lastly, we tested moderated mediation models with self-esteem as a moderator. Loneliness was positively associated with interpretation bias and social avoidance and negatively with self-esteem. Indirect effects in all three mediation models testing the regulatory loop were positive and strongly significant. Self-esteem was a significant moderator in the mediation models, with higher levels of self-esteem attenuating the indirect effect of loneliness on interpretation bias. These effects held even when controlled for relevant covariates, such as depressive and social anxiety symptoms. This study gives preliminary empirical support for the proposed model of chronic loneliness by Cacioppo and Hawkley (Trends in Cognitive Sciences, 13(10), 447–454, 2009) and the potential buffering effect of self-esteem. Hence, our results support the notion of addressing maladaptive social cognitions and maladaptive social behavior to effectively reduce chronic loneliness and strengthen self-esteem as a protective factor.