In Shakespeare's Macbeth, I don't believe Macbeth feels lonely because no one understands him, but I do believe that towards the end, he feels isolated because he is alone, which I think is very different from loneliness.
At the start of the play, Macbeth is an honored warrior. His King loves him for all Macbeth has contributed to the war effort, and promises to further reward him. Macbeth is close to Banquo, his friend and one of his men-at-arms. When Macbeth returns home, we find that he and Lady Macbeth have a strong bond as well. In terms of the kingdom, Macbeth also enjoys a reputation of valor and strength.
This changes dramatically: he kills the King; his peers become suspicious of him; he kills Banquo; and, he and Lady Macbeth become very distant. (Whereas they had planned everything together, he has started to leave her out of his schemes; ultimately, she takes her own life.)
By the time Lady Macbeth dies, there is no one Macbeth can share his ideas or concerns with: his servants are fearful of him (for good reason). All he can see is his obsessive need to hold onto his power. As his servant Seton helps him dress for battle as Malcolm approaches, Macbeth's bravery is dampened by his desperation, and perhaps an inkling that the witches have played him false.
As Macbeth goes out to fight, we see a glimpse of he noble warrior he once was: it's as if the madness that accompanied the witches' predictions clears for a moment, and Macbeth decides to go out bravely, much the way the former Thane of Cawdor, another traitor, went to his death at the beginning of the play. At this point, he must fight this last battle alone, as even his soldiers have fled or joined the other side. He is certainly alone.
I agree with the above post. Macbeth does not reveal that he feels like no one understands his guilt, but he does say that he feels alone. In Act 5, most of Macbeth's Thanes have left his side to join Malcolm and the English army. Macbeth says that his time is near its end and that he should have honor, friends, and company, but that all he really has is himself. This is an allusion to the time of King Duncan's rule--Macbeth even acknowledges that Duncan had many followers and people who loved him. The men who are left at Macbeth's side fight only out of duty, not out of honor or love as they did for Duncan. So Macbeth realizes that his ill deeds have earned him his loneliness.