A Study to Evaluate Sleep Electroencephalogram (EEG) Features (Brain Activity While Sleeping) in Participants With Major Depressive Disorder (MDD)

Inclusion criteria: * Participants must be medically stable, based on investigator review of medical history, vital signs (including blood pressure), and clinical judgment. In cases of any medical concern, the investigator has the option to perform local 12-lead electrocardiogram (ECG) or local clinical laboratory testing at screening. This determination must be recorded in the participant's source documents and initialed by the investigator * Meet diagnostic and statistical manual of mental disorders (5th edition) (DSM-5) diagnostic criteria for major depressive disorder (MDD), without psychotic features based upon clinical assessment and confirmed by the structured clinical interview for DSM-5 axis I disorders-clinical trials version (SCID-CT). Must be diagnosed with first depressive episode prior to age 60 * Have had an inadequate response to at least 1 but no more than 2 antidepressants, administered at an adequate dose and duration started in the current episode of depression. The current antidepressant cannot be the first antidepressant treatment for the first lifetime episode of depression. An inadequate response is defined as less than (\<) 50 percent (%) reduction but with some improvement (that is, improvement greater than \[\>\] 0%) in depressive symptom severity with residual symptoms present, and overall good tolerability, as assessed by the massachusetts general hospital-antidepressant treatment response questionnaire (MGH-ATRQ). An adequate trial is defined as an antidepressant treatment for at least 6 weeks on a stable dose at or above the minimum therapeutic dose specified in the MGH-ATRQ, and this must include the participant's current antidepressant treatment * Is receiving and tolerating well any one of the following selective serotonin reuptake inhibitor (SSRI) or serotonin-norepinephrine reuptake inhibitor (SNRI) for depressive symptoms at screening, in any formulation and approved by the Food and Drug Administration (FDA): citalopram, duloxetine, escitalopram, fluvoxamine, fluoxetine, milnacipran, levomilnacipran, paroxetine, sertraline, venlafaxine, desvenlafaxine, vilazodone, or vortioxetine at a stable dose (at therapeutic dose level per MGH-ATRQ) for at least 6 weeks * Has a body mass index (BMI) of 18 to 40 kilograms per meter square (Kg/m\^2), inclusive Exclusion criteria: * Had major surgery (for example, requiring general anesthesia) within 2 weeks before screening, or will not have fully recovered from surgery, or has surgery planned during the time the participant is expected to participate in the study * Has a history of treatment-resistant MDD, defined as a lack of response to 2 or more adequate antidepressant treatments in the current episode, as indicated by no or minimal (less than or equal to \[\<=\] 25%) improvement in symptoms when treated with an antidepressant of adequate dose (per MGH-ATRQ) and duration (at least 6 weeks) * Has a primary DSM-5 diagnosis of panic disorder, generalized anxiety disorder, social anxiety disorder, or specific phobia which has been the primary focus of psychiatric treatment within the past 2 years. These are allowed as secondary diagnoses if MDD is the primary focus of treatment according to the investigator * Has a history or current diagnosis of a psychotic disorder, bipolar disorder, intellectual disability, autism spectrum disorder, borderline personality disorder, or somatoform disorders * Has cognitive impairment per investigator judgment that would render the informed consent invalid or limit the ability of the participant to comply with the study requirements. Participant has neurodegenerative disorder (for example, alzheimer's disease, vascular dementia, parkinson's disease with clinical evidence of cognitive impairment) or evidence of mild cognitive impairment