Emotional instability or neuroticism has been observed as a key transdiagnostic personality trait in the development of numerous mental health issues, such as depression. The role of neuroticism as a risk factor for depression has been widely explored in the literature. However, in the contemporary context, loneliness is seen to be emerging as a significant public health concern. Among individuals at the severe end of the spectrum of neuroticism in particular, exposure to loneliness may contribute to this diathesis by translating to depressive symptoms. Furthermore, it has been noted that social support may contribute as a protective factor in this dynamics, owing to its association with greater well-being and favorable health outcomes. Therefore, the present study aimed to explore the association of neuroticism and depression, and a further investigation into the inter-construct mechanisms underlying this association. It was hypothesized that loneliness will mediate the association between neuroticism and depression. Furthermore, it was expected that social support will moderate the neuroticism-depression association by interacting with loneliness. The study utilized a cross-sectional survey design, involving participation of 399 young adults (Mage = 20.75, SDage = 2.83) through convenience sampling. Mediation and moderated mediation analyses were conducted using SPSS Process Macro models 4 and 7 respectively. Both the hypotheses were supported by the data. There was a significant mediation of neuroticism-depression link through loneliness (β = 0.17, p < 0.001). Also, social support significantly moderated this mediated association by interacting with loneliness (Index of Moderated Mediation = -0.04, LLCI = -0.07, ULCI = -0.01). The findings indicate that individuals high on neuroticism may experience greater loneliness, which in turn contributes to higher depressive symptoms. This indirect pathway may be weakened by presence of high perceived social support, highlighting its protective role. These results are significant in terms of implications for practitioners.