Social isolation and loneliness are the key risk factors for depression in late life. Older adults living alone and socially isolated are at greater risk for physical and mental health. This study aims to examine the mediating effects of subjective physical health, resilience, and social support on the association between loneliness and depression among the elderly female population living alone in South Korea. We included a total of 308 older women aged 60 years or older who live alone in a medium-sized city in South Korea. The survey data was collected using the validated survey instruments between November 2015 and April 2016. A parallel mediation model was performed to investigate whether physical health, resilience, and social support had mediating effects on the association of loneliness with depression. The findings of this study showed that loneliness was directly and indirectly associated with depression through its association with the subjective physical health, resilience, and social support among the older female population living alone. Our results suggest the importance of supporting community-based programs to improve physical and mental health of the elderly people as a way to minimize the level of loneliness and prevent depression.