Background: Depression is a common and overwhelming psychiatric disorder among family caregivers of persons with severe mental illness (SMI). The interrelationships among social support, loneliness, and depression, especially among this relatively vulnerable group, are poorly understood. Objective: The aim of the present study was to test the hypothesis that the social support contributes to the alleviation of depression, through its effect on reducing loneliness. Methods: A survey of 256 rural family caregivers of persons with SMI was conducted between December 2017 and May 2018 in Chengdu City, Sichuan Province, China. Social support, loneliness and depression were measured. A series of multiple linear regression models and bootstrapping procedure were performed to examine the mediating effects of loneliness on the association between social support as well as its components and depression. Results: The proportion of family caregivers of persons with SMI who reported significant depressive symptoms was 53.5%. Loneliness fully mediated the negative association between social support and depression. As to three components of social support, subjective support and objective support only had indirect associations with depression mediated by loneliness, while support utilization had both direct and indirect relationships with depression. Conclusion: The current study highlighted that social support and its three components may acted as protective factors by decreasing the feelings of loneliness, which created a beneficial effect on depression among family caregivers of persons with SMI.