An inverse relationship between self-esteem and loneliness has been established in previous research. In the current study, the hypothesis that social anxiety plays a mediated role between self-esteem and loneliness was investigated. A total of 285 Chinese college students were enrolled and measured on a series of questionnaires to measure self-esteem, social anxiety and loneliness. The causal steps approach indicated that social anxiety partially mediated the relationship between self-esteem and loneliness. Furthermore, the Bootstrapping 95% confidence intervals as well as the Bayesian 95% credible intervals indicated that the indirect effect was significant. In addition, both the kappa-squared and R-squared mediation effect size measures indicated that the effect size of the mediating effect was medium, and this result was confirmed by the other four effect size measures, the partially standardized indirect effect, the completely standardized indirect effect, the proportion mediated and the ratio effect size measure.