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Numerous studies have observed a robust correlation between shyness and loneliness but few have attempted to explain why this relationship exists. This study assessed the extent to which variables associated with self-presentation approaches to shyness and social support mediated the association between shyness and loneliness. Two hundred and fifty-five American college students completed self-report measures of shyness, loneliness, expectations of rejection, interpersonal competence and close social support. A path analysis indicated that high levels of shyness were related to features of a protective style of self-presentation (perceived deficits in interpersonal competence, heightened expectations of rejection). In turn, low levels of interpersonal competence predicted reductions in social support. Together, measures indicative of a protective self-presentation style and reductions in social support predicted increases in loneliness. However, shyness and loneliness had a significant association, even after controlling for the influence of self-presentation and social support. Findings suggest that although features of protective self-presentation and social support may partially explain the association between shyness and loneliness, shyness and loneliness are also directly related.