Dysregulation of the Hypothalamic-Pituitary-Adrenal (HPA) axis and disruptions of restorative processes (e.g., sleep) have been proposed as two key mechanisms through which loneliness leads to medical morbidity in adults and late adolescents. Whether loneliness acts through these biological and behavioral intermediaries in children as well remains unexplored. In a sample of 645 children aged 8–15 affected by parental HIV/AIDS in rural China, trait and state (i.e., daily) loneliness were measured in a 3-day diary study, wherein participants also provided cortisol samples and sleep measures. Whereas high levels of trait loneliness were found to predict lower morning cortisol levels, longer time in bed, lower sleep quality, and a higher number of night awakenings, daily loneliness was associated with a flatter diurnal cortisol slope and shorter time in bed. Although the association between trait loneliness and daily loneliness with HPA activity remained significant after controlling for psychological constructs that overlap with loneliness (e.g., depression and daily negative affect), some of the associations between loneliness and sleep measures became non-significant after including these additional covariates. These findings provide the first empirical evidence to our knowledge of associations between trait and state loneliness and health-related outcomes among school-aged children and young adolescents.