A growing area of research has begun to explore the opportunities that social media and the Internet provide for social connection. In contributing to this literature, the current study aimed to examine links between young adults’ perceptions of protection and control in the online environment, social Internet use, and social connectedness. Furthermore, as online communication has been suggested to be beneficial for those who are socially anxious, we tested social anxiety as a moderator of the aforementioned associations. A sample of Australian young adults (N = 687; 59.8% female; Mage = 19.45 years, SD = 2.07) were included in the study. A multigroup mediation model tested the effects of perceptions of protection and control online on social connectedness, via social Internet use, for groups of young adults classified as socially anxious, or low to moderate in social anxiety. For all young adults, social Internet use was positively associated with social connectedness, but there were key differences in the associations between Internet perceptions and social connectedness among young adults with and without social anxiety. For example, for socially anxious young adults, perceptions of control online were directly associated with lower social connectedness. Furthermore, although perceptions of protection online were linked to lower social connectedness of those without social anxiety, the negative effect was not significant for socially anxious young adults. These findings may have implications for clinical practice, and importantly, highlight links between perceptions of online contexts and connectedness that may be driven by social anxiety.