This is a multicenter, randomized, double-blind, active comparator-controlled, parallel study of participants with Treatment Resistant Depression (TRD), comparing the efficacy and safety of olanzapine and fluoxetine Combination (OFC) versus fluoxetine in relapse prevention of stabilized participants with TRD. The study will consist of 4 phases: a screening phase; a 6- to 8-week open-label acute treatment phase; a 10- to 12-week open-label stabilization phase; and a 27- to 29-week double-blind relapse prevention treatment phase. Participants who demonstrate response to open-label OFC during the acute treatment phase will continue into the stabilization phase. Participants who remain stable while receiving open-label OFC during this phase will be randomized to receive either OFC or fluoxetine during the double-blind relapse prevention phase. Investigators and participants will be blinded to the precise duration of the stabilization period, the definition of remission, and the criteria for entry into the relapse prevention phase; this information is described in a supplement given to Ethical Review Boards (ERBs) and regulatory authorities.