Background: Due to the impact of COVID-19, loneliness rates among university students have increased. Despite research evidence on the impact of loneliness on depression among university students, only a few studies have focused on the mediating mechanism of this relationship. The investigation of the role of self-esteem and life satisfaction in the association between loneliness and depression among university students still has many gaps. Purpose: This study aimed to investigate whether loneliness was associated with higher depressive symptoms among university students through lower life satisfaction and whether the relationship between loneliness and depressive symptoms was moderated by self-esteem. Methods: The sample includes 408 university students (341 female students and 67 male students) in Vietnam. Participants completed self-reported measures of loneliness, life satisfaction, self-esteem, and depression symptoms. Results: Moderation analyses indicated that self-esteem moderated the relationship between loneliness and depression symptoms. Mediation analyses indicated that loneliness was associated with depression symptoms through life satisfaction. Discussion: Self-esteem and life satisfaction are important mechanisms to explain why students with high levels of loneliness may be associated with more depressive symptoms. Translation to Health Education Practice: Health educators should consider implementing measures to reduce loneliness and increase self-esteem and life satisfaction to reduce depression in students.