This study focuses on the factor structure of a multidimensional loneliness measure, that is, the Loneliness and Aloneness Scale for Children and Adolescents (LACA). Confirmatory factor analyses were conducted on a large sample of children and adolescents (N = 9,676) in Belgium. Results indicated that the supposed four-factor structure of the instrument showed a superior fit when compared to alternative, more parsimonious models. Measurement invariance was established across gender and across all age groups in the intended age range (i.e., elementary school to freshman year in college). Age comparisons indicated that parent-related loneliness and positive attitudes to aloneness increased throughout adolescence. In sum, the present study offers strong support based on strict tests for the factor structure of a particular multidimensional loneliness measure (LACA). Future research should extend such analyses to other multidimensional measures of loneliness.