The longitudinal relationship between loneliness and depressive symptoms is well documented. However, few studies have considered the bidirectional relationship between loneliness and anhedonia, a cardinal symptom of depression. Moreover, the associations between temporal dynamics of loneliness and depression, and how dampening of positive affect may impact these associations, are under-examined. This study included a sample of clinically depressed individuals who completed baseline measures of dampening and depression, as well as ecological momentary assessments of loneliness and depression during a 90-day study period (N = 150). Multilevel models revealed that within-person loneliness predicted decreased next-week anhedonia when accounting for within-person and between-person variation in anhedonia. Within-person anhedonia predicted greater next-week loneliness when accounting for autoregressive effects. Moderation results revealed that at higher levels of loneliness, the association between baseline dampening and depression assessed after 90 days was positive. At lower levels of loneliness, the association between dampening and depression 90 days later was negative. Our findings imply that loneliness may motivate short-term reaffiliation efforts and that anhedonia may decrease motivation for social activities. Further, social connection may buffer against the effect of dampening on depressive symptoms. These results suggest targeting positive affect and social reward may mitigate depressive symptomatology.