<p>The need to belong is considered essential for well-being in adolescence. Currently, the virtual environment is key for social connection and adolescent validation, so the relationship between the need to belong and depressive symptoms could be mediated by Internet misuse. This article aims to analyze the role of the need to belong in the main risks associated with Internet use (smartphone abuse, concern about appearance on social networks, and social loneliness) and its associations with depression. A total of 1044 Spanish adolescents aged 12–17 participated. The results show that the need to belong does not necessarily lead to feelings of depression; however, when mediated by the variables considered to be risks of Internet use, it is associated with higher levels of depression. There are gender differences in these relationships, although in both cases the need to belong is positively associated with smartphone abuse. It is noteworthy that loneliness in girls and smartphone abuse in boys could increase depression. However, by age, there are hardly any differences in the effects, except in the relationship between the need to belong and social loneliness, which most clearly affects the group between 14 and 15 years old.</p>