Loneliness seems to be a threat to human health, making the identification of its risk factors essential to ensure physical and mental well-being. Although cultural differences in how social relationships are organized (e.g., between individualistic and collectivistic cultures) suggest cultural differences in loneliness, the link between culture and loneliness is poorly understood. Indeed, loneliness has been suggested to be higher in collectivistic than individualistic countries, but whether collectivism puts individuals within countries at risk for loneliness has received little attention. We thus distinguished four different facets of individual-level collectivism (versus individualism) to examine its associations with loneliness. We expected that higher individualism would imply the risk of lower embeddedness in social relationships, while higher collectivism would imply the risk of more likely deviations from ideals about such embeddedness. A cross-sectional survey study in four European countries (Italy, Portugal, Sweden, and The Netherlands, N = 860) revealed that individual-level collectivism was related to lower loneliness. Higher individualism implied lower social embeddedness, but, unexpectedly, higher collectivism did not imply higher deviations from ideals. Within this consistent pattern, results varied between IC indices and countries. Notwithstanding, findings suggest that, within different European countries, weak social embeddedness as implied in individualism puts at risk for, while perceiving collectivism in one’s social environment buffers from loneliness.