A Study to Assess Feasibility of Using Clinician-directed and Digital Application Supported Cognitive Behavior Therapy (CBT) in Conjunction With Esketamine in Participants With Treatment-resistant Depression

Inclusion Criteria:

* Medically stable on the basis of physical examination, medical history, vital signs, and 12-lead electrocardiogram (ECG) performed at screening. Any abnormalities must be consistent with the underlying illness in the study population and this determination must be recorded in the participant's source documents and initialed by the investigator
* Participant must meet the Diagnostic and Statistical Manual of Mental Disorders (5th edition) (DSM-5) diagnostic criteria for single-episode major depressive disorder (MDD) or recurrent MDD, without psychotic features, based upon clinical assessment confirmed by the Mini International Neuropsychiatric Interview (MINI)
* Participant must have had nonresponse to greater than or equal to (\>=) 2 different oral antidepressant treatments of adequate dose and duration in the current episode of depression
* Participant must be currently taking an oral antidepressant.
* Participant must be comfortable with self-administration of nasal spray medication and be able to follow the nasal spray administration instructions provided

Exclusion Criteria:

* Participant's depressive symptoms have previously demonstrated nonresponse to an adequate course of treatment with electroconvulsive therapy (ECT) in the current major depressive episode, defined as at least 7 treatments with unilateral/bilateral ECT
* Participant has a current or prior DSM-5 diagnosis of a psychotic disorder or MDD with psychotic features, bipolar or related disorders (confirmed by the MINI), obsessive compulsive disorder (current only), intellectual disability (DSM-5 diagnostic codes 317, 318.0, 318.1, 318.2, 315.8, and 319), autism spectrum disorder, borderline personality disorder, antisocial personality disorder, histrionic personality disorder, or narcissistic personality disorder
* Participant has a history of moderate or severe substance or alcohol use disorder according to DSM-5 criteria, except nicotine or caffeine, within 6 months before the start of the screening phase. A history (lifetime) of ketamine, phencyclidine (PCP), lysergic acid diethylamide (LSD), or 3, 4-methylenedioxy-methamphetamine (MDMA) hallucinogen-related use disorder is exclusionary
* Participant has any anatomical or medical condition that, per the investigator's clinical judgment based on assessment, may impede delivery or absorption of nasal spray study drug
* Participant has known allergies, hypersensitivity, intolerance, or contraindications to esketamine/ketamine and/or its excipients