Inclusion Criteria:

* Meets the diagnostic criteria for single episode or recurrent major depressive disorder (MDD) without psychotic features, according to either the tenth revision of the International Statistical Classification of Diseases and Related Health Problems (ICD-10) or the Diagnostic and Statistical Manual of Mental Disorders, Fifth Edition (DSM-5)
* Is considered to suffer from a moderate or severe depressive syndrome, as defined by a Montgomery-Asberg Depression Rating Scale (MADRS) total score greater than or equal to (\>=) 22 at entry
* Is initiating or is planning to initiate a new add-on antidepressant treatment per local prescribing information to treat the current depressive episode. In the context of this observational study, a new add-on antidepressant treatment is considered any new pharmacological or non-pharmacological treatment that is prescribed in addition to the current antidepressant treatment, inclusive of an selective serotonin reuptake inhibitor/serotonin norepinephrine reuptake inhibitor (SSRI or SNRI) with the intent to improve a participant's clinical depressive syndrome. Accordingly, any dose escalation of an antidepressant prescribed prior to baseline or the addition of any drug intended to increase the plasma-concentration of an antidepressant prescribed prior to baseline is not considered a new antidepressant treatment; In parallel with the inclusion of participants considered for add-on strategy, in the United States only, a cohort of approximately 50 participants who switch to a new single (monotherapy) pharmacological antidepressant agent of any antidepressant class per local prescribing information to replace the current antidepressant treatment (that is, "monotherapy switch strategy") will be enrolled. The enrollment of participants with switch to monotherapy will be monitored, and sites will be notified by the sponsor once the planned number for the cohort is achieved. Thereafter, only add-on strategy participants will be enrolled
* Must be capable of providing informed consent (for example, able to read and write), based on the opinion of the participating physician. Must sign (or their legally acceptable representative) an informed consent form indicating that he or she understands the purpose of the study and that he or she agrees to have their data collected and analyzed, in accordance with local requirements and the study protocol
* Meets the criterion for inadequate response to a current antidepressant treatment that includes an SSRI or SNRI (monotherapy SSRI, monotherapy SNRI, combination of antidepressants that includes SSRI/SNRI or SSRI/SNRI augmentation), administered at an adequate dose (as defined in the Massachusetts General Hospital - Antidepressant Treatment Response Questionnaire \[MGH ATRQ\]) and duration (at least 6 weeks) in the current episode of depression

Exclusion Criteria:

* Has a current or prior diagnosis of a psychotic disorder, MDD with psychotic features, bipolar or related disorders or intellectual disability, according to DSM-5 or ICD-10
* Participants who require an antidepressant (SSRI/SNRI) change (switch to another antidepressant monotherapy), except for a limited number of participants to be recruited in the United States only
* Unstable general medical condition (for example, cardiovascular, respiratory, gastrointestinal, neurologic, hematologic, rheumatologic, immunologic, or endocrine disorders) in the past 3 months that would compromise participation and normal routine medical care per the physician's clinical judgment
* Has lack of treatment response to the current antidepressant therapy that includes a SSRI/SNRI (that is, no \[0%\] symptomatic improvement despite adequate dose and duration of the antidepressant treatment) assessed using the MGH ATRQ
* History of dementia or mild cognitive impairment. Physician's clinical judgment should document that participant is capable of complying with observational study requirements and being able to complete the appropriate scales
* Has homicidal ideation/intent or is at imminent risk of suicide per the physician's clinical judgment and/or based on the Columbia Suicide Severity Rating Scale (C-SSRS) corresponding to a response of "Yes" on Item 4 (active suicidal ideation with some intent to act, without specific plan) or Item 5 (active suicidal ideation with specific plan and intent)