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Data from European countries participating in the Generations and Gender Surveys showed that mean loneliness scores of older adults are higher in Eastern than in Western European countries. Although co-residence is considered as one of the fundamental types of social integration, and although co-residence is more common in Eastern Europe, the mean loneliness scores of older co-resident adults in Eastern Europe are still very high. This article investigates mechanisms behind the puzzling between-country differences in social integration and loneliness. Firstly, the theoretical framework of loneliness is discussed starting from the individual's perspective using the deficit and the cognitive discrepancy approach and taking into account older adults' deprived living conditions. Secondly, mechanisms at the societal level are investigated: cultural norms, the demographical composition and differences in societal wealth and welfare. It is argued that an integrated theoretical model, as developed in this article, combining individual and societal level elements, is most relevant for understanding the puzzling reality around social integration and loneliness in country-comparative research. An illustration of the interplay of individual and societal factors in the emergence of loneliness is presented. [ABSTRACT FROM AUTHOR]