Objective This research explored the relationship among loneliness, depression and self-concept of rural children in China. Methods Seven hundred and twenty-four children ( M age = 9.15 years) from two rural primary schools were selected as respondents to participate in this study. Piers-Harris Children’s Self-concept Scale, Asher Loneliness Scale and the Center for Epidemiologic Studies Depression Scale for Children were used. Results Of the rural children surveyed, 14.50% and 10.22%, respectively, experienced strong loneliness and severe depression, and 28.52% had low self-concept. There was a significant positive relationship of moderate level between loneliness and depression, and significant negative relationships between total self-concept and depression, and between total self-concept and loneliness. Moreover, a partial mediation role of self-concept was found in the relationship between loneliness and depression. Conclusion Children’s loneliness was not only directly related to depression, but also was indirectly mediated by self-concept, which demonstrated a partial mediation role in the relationship between loneliness and depression.