Background & Aim There is a lack of understanding of how social anxiety may affect Internet addiction among adolescents. Based on several theories, the purpose of this study was to investigate the multiple mediating roles of loneliness and coping styles in the association between social anxiety and Internet addiction in Chinese adolescents. Methods This study used the Social Anxiety Scale, Internet Addiction Test, Loneliness Scale, and Simple Coping Style Questionnaire to investigate 1188 students in two junior high schools and senior high schools in Henan Province, China. We adopted Pearson’s correlation analysis and the PROCESS Macro Model 81 in regression analysis to explore the relationships among social anxiety, loneliness, coping styles, and Internet addiction. Results We found that social anxiety not only directly affects teenagers' Internet addiction, but also affects teenagers' Internet addiction through loneliness and coping styles. Conclusions These results emphasize the importance of improving social anxiety to reduce Internet addiction among adolescents. At the same time, it also emphasizes the need to reduce adolescents' loneliness and cultivating positive coping styles. In addition, this study has certain theoretical significance for teenagers' mental health and intervention studies on Internet addiction.