Loneliness is a common psychological experience affecting a significant minority of the general population. Loneliness may in part be related to the existence of dysfunctional cognitive evaluations. To date, however, loneliness has yet to be explicitly assessed within a cognitive-behavioural theoretical framework. The current study sought to determine the association between negative cognitions, within the context of Rational Emotive Behaviour Therapy (REBT), and the experience of loneliness. A multinational sample of university students (n = 397) completed self-report assessments of rational and irrational beliefs, and loneliness. Structural equation modelling results found that the REBT model of psychopathology, and the REBT model of psychological health, provided satisfactory representations of loneliness, explaining 36% and 23% of variance in loneliness, respectively. Several dysfunctional (“Demandingness”, “Catastrophising” and “Self-Downing” beliefs) and functional (“Preferences” and “Self-Acceptance” beliefs) cognitions were directly and indirectly associated with loneliness. These results highlight that cognitions and loneliness are meaningfully related, and indicate that cognitive-behavioural models may be useful in understanding loneliness. More specifically, current results suggest that REBT may offer a viable psychotherapeutic approach to treating loneliness.