Objective: This study aims to explore the moderating role of affinity for aloneness and gender in the relationship between loneliness and depression. Methods: The University of California at Los Angeles (UCLA) loneliness scale, the Loneliness and Aloneness Scale for Children and Adolescents (LACA), and the Centre for Epidemiologic Studies Depression Scale (CES-D) were administered for 831 college students (317 males and 460 females). Results: (1) Males had higher scores than females for loneliness and depression; (2) Loneliness was positively associated with affinity for aloneness and depression, whereas affinity for aloneness was positively associated with depression; and (3) The moderating effects of affinity for aloneness in the correlation between loneliness and depression only existed in males, and affinity for aloneness can buffer the effect of loneliness on depression. Results: Affinity for aloneness may be a buffering factor that serves to protect individuals with high loneliness from developing psychological problems, especially among males.