Objective <p>This study aimed to examine whether loneliness mediate associations of family support with depression and the extent of interaction of family support and loneliness with depression in children and adolescents.</p> Methods <p>There were 2755 children and adolescents aged 18 and below from the China Family Panel Studies (CFPS) that participated in our study. Depression in children and adolescents was assessed by the Center for Epidemiologic Studies Depression Scale (CES-D). Data were analyzed using logistic regression models, mediation analysis models and the interaction effect models.</p> Results <p>Of the 2,755 children and adolescents, 848 (30.8%) reported feelings of loneliness and 2,452 (88.7%) reported feelings of depression. The results of the multivariate logistic regression analysis indicated that, in comparison to children and adolescents who reported having family support, those who lacked such support exhibited a higher probability of experiencing loneliness (odds ratio (OR) = 1.668, 95% confidence interval (CI): (1.318–2.111) and depression (OR, 95%CI = 2.267, 1.402–3.664). The results of the mediation analysis indicated that loneliness exerted a partial mediating effect on the relationship between family support and depression (<i>β</i>=-0.087, <i>P</i> &lt; 0.001), with a mediation proportion of 33.21%. No significant multiplicative or additive interactions were observed between family support and loneliness on depression.</p> Conclusion <p>The findings indicate that family support exerts a direct and indirect influence on depression, mediated by loneliness. The results suggest that parents should provide more support to children and adolescents to mitigate the risk of loneliness and underlying depression.</p>