Inclusion Criteria:

Transferred-entry participants:-Participants must have completed the double blind (DB) (expand DB) Treatment Phase of Study 67953964MDD3001 or Study 67953964MDD3002 without early treatment discontinuation or switch in the oral selective serotonin reuptake inhibitor/serotonin-norepinephrine reuptake inhibitor (SSRI/SNRI) in the parent studyDirect-entry participants:* Have a Hamilton Depression Rating Scale (HDRS)-17 total score of 20 or higher at the first and second screening interviews and must not demonstrate a clinically significant improvement (that is, an improvement of more than 20 percent (%) on their HDRS-17 total score) between the first and the second independent HDRS-17 assessments

* Have had an inadequate response to at least 1 oral antidepressant treatment, administered at an adequate dose (at or above the minimum therapeutic dose per Massachusetts general hospital antidepressant treatment response questionnaire [MGH ATRQ]) and duration (at least 6 weeks) in the current episode of depression

* Must be an outpatient at open-label treatment phase baseline

* Meet Diagnostic and Statistical Manual of Mental Disorders-5th Edition (DSM-5) diagnostic criteria for recurrent or single episode 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)Direct-entry and Transferred-entry Participants:-Participants should not take any prohibited medication or food supplements

Exclusion Criteria:

Transferred-entry Participants:* Participant has been non-compliant with the study intervention administration in the DB Treatment Phase in either of Studies 67953964MDD3001 or 67953964MDD3002 (that is, have missed either 4 or more consecutive doses of study intervention or a total of 8 or more doses during the DB Treatment Phase)

* Participant has any condition or situation/circumstance for which, in the opinion of the investigator, participation would not be in the best interest of the participant (example, compromise the well-being) or that could prevent, limit, or confound the protocol specified assessmentsDirect-entry Participants:* Employee of the investigator or study site, with direct involvement in the proposed study or other studies under the direction of that investigator or study site, as well as family members of the employees or the investigator

* Has a history or evidence of clinically meaningful noncompliance with current antidepressant therapy

* Known allergies, hypersensitivity, or intolerance to aticaprant or any of its excipients