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Loneliness is linked to wide ranging physical and mental health problems, including increased rates of mortality. Understanding how loneliness manifests is important for targeted public health treatment and intervention. With advances in mobile sending and wearable technologies, it is possible to collect data on human phenomena in a continuous and uninterrupted way. In doing so, such approaches can be used to monitor physiological and behavioral aspects relevant to an individuals loneliness. In this study, we proposed a method for continuous detection of loneliness using fully objective data from smart devices and passive mobile sensing. We also investigated whether physiological and behavioral features differed in their importance in predicting loneliness across individuals. Finally, we examined how informative data from each device is for loneliness detection tasks. We assessed subjective feelings of loneliness while monitoring behavioral and physiological patterns in 30 college students over a 2-month period. We used smartphones to monitor behavioral patterns (e.g., location changes, type of notifications, in-coming and out-going calls/text messages) and smart watches and rings to monitor physiology and sleep patterns (e.g., heart-rate, heart-rate variability, sleep duration). Participants reported their loneliness feeling multiple times a day through a questionnaire app on their phone. Using the data collected from their devices, we trained a random forest machine learning based model to detect loneliness levels. We found support for loneliness prediction using a multi-device and fully-objective approach. Furthermore, behavioral data collected by smartphones generally were the most important features across all participants. The study provides promising results for using objective data to monitor mental health indicators, which could provide a continuous and uninterrupted source of information in mental healthcare applications.