Low self-esteem has been shown to relate to concurrent and later feelings of loneliness in adolescence. However, it remains unclear why low self-esteem puts adolescents at risk for experiencing loneliness. Further, longitudinal research on the direction of effects between loneliness and self-esteem is virtually non-existent. The present study aims to fill these gaps in the literature. First, the direction of effects between loneliness and self-esteem was investigated in two independent longitudinal studies: a five-wave study sampling Dutch adolescents (M age = 15.22 years at T1; 47 % female; N = 428) and a three-wave study sampling Belgian adolescents (M age = 14.95 years at T1; 63 % female; N = 882). Second, the underlying role of social acceptance was investigated in the latter sample by applying a multi-method approach that included actual (i.e., peer-reported) and perceived (i.e., self-reported) social acceptance. Results indicated that self-esteem and loneliness influenced one another in a reciprocal manner. Furthermore, the dominant path from self-esteem to loneliness was partially mediated by perceived—but not actual—social acceptance. The importance of distinguishing actual from perceived social acceptance is discussed, and suggestions for future research are outlined.