Inclusion Criteria:
1. 18 to 65 years of age
2. Meeting Diagnostic and Statistical Manual for Mental Disorders (DSM-5) criteria for Major Depressive Disorder (MDD)
3. Current major depressive episode as confirmed by the Mini International Neuropsychiatric Interview (MINI) for DSM-5
4. Experiencing moderate to severe depressive episodes, as defined by the Montgomery-Åsberg Depression Rating Scale (MADRS) \> 21
5. Failure of two trials of antidepressant therapy of adequate dose and duration, during the current depressive episode
6. For women of childbearing potential, use of highly effective or double-barrier methods of contraception. Abstinence is acceptable if it is the preferred and usual lifestyle of the female participant
7. Capacity to provide informed consent.
Exclusion Criteria:
1. Acute suicidality defined as score \> 4 on MADRS item 10
2. Diagnosis of Bipolar Disorder
3. Current substance abuse or dependence and/or history of alcohol abuse or dependence within the past year
4. Dementia
5. Current or lifetime history of schizophrenia or schizoaffective disorder
6. Known history of hypersensitivity or allergy to nitrous oxide, midazolam or any ingredients in the study formulations
7. Contraindication to receiving nitrous oxide (e.g. any condition where air is entrapped within a body and its expansion might be dangerous such as, pneumothorax, elevated intracranial pressure, air embolism, recent middle ear, vitreoretinal or bowel obstruction surgeries, etc.)
8. Known chronic cobalamin or folate deficiency (e.g. signs of anemia or neurological symptoms, with plasma levels of homocysteine over 15 µmol/L and abnormal red blood cells and leukocytes on a complete blood count CBC) or current methotrexate use
9. Contraindication to receiving the placebo midazolam (e.g. shock, chronic heart failure, chronic obstructive pulmonary disease, closed-angle glaucoma, renal failure, patients with limited pulmonary reserve or those with severe decline of vital signs)
10. Daily use of centrally acting medicinal products, such as opioid agonists, (e.g. naloxone and naltrexone) morphine derivatives (e.g. oxycodone, hydrocodone, oxymorphone, codeine), benzodiazepines (e.g. diazepam, clonazepam, alprazolam) and/or other central nervous system depressants such as barbiturates (e.g. phenobarbital, pentobarbital, amobarbital) and alcohol within the past week.
11. Pregnancy or breastfeeding
12. Received electroconvulsive therapy within the past six months
13. Received ketamine treatment within the past six months
14. Received repetitive transcranial magnetic stimulation within the past six months
15. Unwilling to maintain current antidepressant regimen.
