Loneliness is the negative experience of a discrepancy between the desired and actual personal network of relationships. Whereas past work have focused on the effect of loneliness on prosocial behaviors, the present research addressed the gap by exploring the effect of loneliness on empathy. Empathy is the emotional reaction of sharing in others’ internal experiences. We adopted a new paradigm-empathy selection task, which uses free choices to assess the desire to empathize. Participants made a series of binary choices, selecting situations that instructed them to empathize or objectively describe. Results from two studies showed that, compared to non-lonely people, lonely people were more likely to choose positive empathy but to avoid negative empathy. The pattern occurs because lonely people perceived higher (vs. lower) social support in the positive (vs. negative) empathy tasks. Moreover, empathy served to be an adaptive emotion regulation strategy developed by lonely people to reduce their loneliness effectively. This research has resulted in both theoretical contributions to prosocial behavior literature and the further discovery of practical implications for loneliness intervention.