Introduction: Social anxiety (SA) is a common and developmentally significant concern during adolescence. Although prior research suggests that physical activity (PA), loneliness, and SA are correlated, less is known about how these associations develop over time. This study examined the within-person longitudinal associations among these variables in a sample of Chinese adolescents. Methods: = 0.62). A Random Intercept Cross-Lagged Panel Model was used to analyze the data. Results: At the within-person level, higher SA predicted subsequent increases in loneliness, while loneliness in turn predicted higher SA, suggesting a reciprocal and reinforcing process. Higher PA was associated with later decreases in both SA and loneliness, whereas SA and loneliness predicted lower subsequent PA. Conclusion: These findings highlight the dynamic links among SA, loneliness, and PA, underscoring the importance of addressing social-emotional difficulties while promoting PA to reduce adolescent loneliness.