© 2022 ANP Publishing. All rights reserved.Objective: Social media usage is increasing gradually and the websites that enable social interaction may influence people's loneliness and depression levels. The aim of the present research was to examine the multiple mediating roles of self-esteem and happiness in the relationship between loneliness and depression. Method: The study sample was composed of 409 Facebook and Instagram users. Data were collected by using personal information form, Beck Depression Inventory, Oxford Happiness Scale-Short Form, Rosenberg Self-Esteem Scale and UCLA Loneliness Scale. Correlation analysis was carried out to determine the relationship between variables. Multiple mediation analysis was conducted to determine the mediating roles of self-esteem and happiness in the relationship between loneliness and depression. Results: The results suggest that self-esteem and happiness, indeed, have mediating roles in the relationship between loneliness and depression, and multiple mediation models were found to be statistically significant. The frequency of accessing Instagram was positively associated with depression and loneliness. Facebook users had higher self-esteem levels compared to Instagram users. Discussion: In conclusion, the relationship between loneliness and depression was found to be significantly mediated by self-esteem and happiness. Increased frequency of access to Instagram every day was found to increases the level of depression and loneliness. Additionally, Instagram users were found to have lower self-esteem compared to Facebook users.