A Study to Explore the Efficacy of JNJ-67953964 in the Treatment of Depression

Inclusion Criteria

• Have a Body Mass Index (BMI) between 18 and 35 kilogram per meter square (kg/m^2) inclusive (BMI = weight/height^2)
• Participants must be medically stable based on clinical laboratory tests, medical history, vital signs, and 12-lead electrocardiogram (ECG) performed at screening and baseline
• Participants must have a primary Diagnostic and Statistical Manual of Mental Disorders 5th edition (DSM-5) diagnosis of Major Depressive Disorder (MDD)
• The current episode should be less than 18 months
• Participants should be currently treated with an SSRI or SNRI at an adequate dose and for at least 6 weeks but no more than 12 months
• Have a Montgomery-Asberg Depression Rating Scale (MADRS) total score greater than or equal to (>=) 25 at screening
• A woman of childbearing potential must have a negative serum pregnancy test at screening and a negative urine pregnancy test before the first dose

Exclusion Criteria

• History of documented gastric disease (including documented peptic ulcer disease, gastritis, upper gastrointestinal [GI] bleeding, esophagitis, or any GI precancerous condition), current clinically evident GI complaints
• Chronic use of a proton pump inhibitors (PPIs). History of incidental use of PPIs is allowed but should have been stopped at least 4 weeks before screening. A history of chronic nonsteroidal anti-inflammatory drug (NSAID) or aspirin use. (Low dose aspirin for example in cardiovascular disease prevention is allowed)
• Has a history of alcohol use disorder within the past year
• Has failed (no more than 25 percent [%] response on Antidepressant Treatment History Questionnaire [ATRQ]) three or more antidepressant treatments including the current Selective serotonin reuptake inhibitor/ serotonin-norepinephrine reuptake inhibitor (SSRI/SNRI) during the current depressive episode despite an adequate dose (per ATRQ) and duration (at least 6 weeks)
• Has signs or symptoms of Cushing's Disease, Addison's Disease, primary amenorrhea, or other evidence of significant medical disorders of the hypothalamus pituitary adrenal (HPA) axis
• Participant has received an investigational drug (including investigational vaccines) or used an invasive investigational medical device within 3 months before the planned first dose of study drug or has participated in any interventional clinical studies on MDD in the previous 1 year or is currently enrolled in an interventional study
• Has one or more of the following diagnoses:
• A primary DSM (5th edition) diagnosis of generalized anxiety disorder (GAD), panic disorder, obsessive compulsive disorder (OCD), posttraumatic stress disorder (PTSD). Participants with comorbid GAD, social anxiety disorder (SAD), or panic disorder for whom MDD is considered the primary diagnosis are not excluded
• A current diagnosis or diagnosis in the past 1 year of psychotic disorder, MDD with psychosis, anorexia nervosa or bulimia nervosa, chronic fatigue syndrome, bipolar disorder (BD), mental retardation, antisocial or borderline personality disorder, autism spectrum disorder
• Has a current or recent history of clinically significant suicidal ideation within the past 6 months, corresponding to a score of 4 (active suicidal ideation with some intent to act, without specific plan) or 5 (active suicidal ideation with specific plan and intent) for ideation on the Colombia suicide severity rating scale (C-SSRS), or a history of suicidal behavior within the past 1 year
• Ongoing psychological treatments (example, Cognitive Behavior Therapy, Interpersonal Psychotherapy, Psychodynamic Psychotherapy, etcetera [etc.]), initiated within 1 month prior to the screening phase. A participant who has been receiving ongoing psychological treatment for a period of greater than 1 month from the screening visit is eligible, if the investigator deems the psychological treatment to be of stable duration and frequency
• Participant has a history of substance use disorder according to DSM-