Erik Erikson’s theoretical writings on identity have provided a rich foundation upon which decades of research on identity development have been built. However, literature is lacking regarding adolescents who are aware that they lack knowledge about the self (i.e., values, likes, and dislikes) to the extent that they are stuck and directionless, and therefore unable to engage in the process of identity formation, what we refer to as a state of “lostness.” Furthermore, while it has been established that supportive relationships facilitate identity development, less is known about whether various domains of social connectedness may diminish “lostness” over time, and if so, what may be the specific processes or conditions within each connectedness domain that supports this aspect of identity development. To address this gap in the literature, this study drew upon self-report data collected from New Zealand adolescents who provided data for two out of three annual time points of measurement (N = 1996; 52% female; 52% European New Zealanders, 30% Māori, and 18% Pacific Islanders and Asian New Zealanders) to examine the longitudinal relationships among three domains of social connectedness (i.e., family, school, and peers), “lostness,” and a potential mediator, confidence. The results showed that all three domains of social connectedness predicted diminished “lostness” over time, and confidence mediated these relationships. An examination of the opposite direction of influence showed that “lostness” predicted a decrease in confidence and the three domains of social connectedness, as well. Gender, age, and ethnic group were shown to be moderators of different parts of the model. This study addresses the paucity of research examining “lost” adolescents, while providing insight into the underlying processes through which three key social contexts—family, school, and peers—exert their influence, and are influenced by, identity processes through confidence.