Background: Understanding the direction and magnitude of mental health-loneliness associations across time is important to understand how best to prevent and treat mental health and loneliness. This study used weekly data collected over 8 weeks throughout the COVID-19 pandemic to expand previous findings and using dynamic panel models with fixed effects which account for all time-invariant confounding and reverse causation.Methods: Prospective data on a convenience and snowball sample from all 50 US states and the District of Colombia (n = 2,361 with >= 2 responses, 63.8% female; 76% retention rate) were collected weekly via online survey at nine consecutive timepoints (April 3-June 3, 2020). Anxiety and depressive symptoms and loneliness were assessed at each timepoint and participants reported the COVID-19 containment strategies they were following. Dynamic panel models with fixed effects examined bidirectional associations between anxiety and depressive symptoms and loneliness, and associations of COVID-19 containment strategies with these outcomes.Results: Depressive symptoms were associated with small increases in both anxiety symptoms (beta = 0.065, 95% CI = 0.022-0.109; p = 0.004) and loneliness (beta = 0.019, 0.008-0.030; p = 0.001) at the subsequent timepoint. Anxiety symptoms were associated with a small subsequent increase in loneliness (beta = 0.014, 0.003-0.025; p = 0.015) but not depressive symptoms (beta = 0.025, -0.020-0.070; p = 0.281). Loneliness was strongly associated with subsequent increases in both depressive (beta = 0.309, 0.159-0.459; p < 0.001) and anxiety (beta = 0.301, 0.165-0.436; p < 0.001) symptoms. Compared to social distancing, adhering to stay-at-home orders or quarantining were not associated with anxiety and depressive symptoms or loneliness (both p >= 0.095).Conclusions: High loneliness may be a key risk factor for the development of future anxiety or depressive symptoms, underscoring the need to combat or prevent loneliness both throughout and beyond the COVID-19 pandemic. COVID-19 containment strategies were not associated with mental health, indicating that other factors may explain previous reports of mental health deterioration throughout the pandemic.