Background/Objectives: Social media use is central to adolescent functioning, yet problematic engagement is linked to adverse psychosocial outcomes. This study examined the relationship between loneliness and problematic social media use (PSMU), investigating the role of fear of missing out (FoMO) as an underlying mechanism. Methods: The study included 206 Polish adolescents (M = 17.21, SD = 1.16). Participants completed the Bergen Social Media Addiction Scale, the Fear of Missing Out Scale, and the de Jong Gierveld Loneliness Scale. Correlation, multiple regression, and bootstrapping analyses were performed to test these associations. Results: Loneliness was positively associated with PSMU and specific FoMO dimensions. PSMU correlated with all FoMO dimensions, although the association with fear of social exclusion was weaker. Social comparison anxiety and online monitoring were identified as key factors associated with the indirect path from loneliness to PSMU (β = 0.09, 95% CI [0.03, 0.23] and β = 0.05, 95% CI [0.01, 0.15], respectively). Fear of social exclusion did not show a significant association with loneliness. Conclusions: These findings align with a compensatory framework, suggesting that loneliness is related to PSMU through specific cognitive and behavioral processes related to FoMO. Given the cross-sectional design, these results are exploratory; future longitudinal research is required to establish the directionality and temporal stability of these associations.