Inclusion Criteria:  18 to 65 years of age Meeting Diagnostic and Statistical Manual for Mental Disorders (DSM-5) criteria for Major Depressive Disorder (MDD) Current major depressive episode as confirmed by the Mini International Neuropsychiatric Interview (MINI) for DSM-5 Experiencing moderate to severe depressive episode, as defined by the Hamilton Depression Rating Scale (HAMD)>17 Failure of two trials of antidepressant therapy of adequate dose and duration, during the current depressive episode 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 Capacity to provide informed consent.  Exclusion criteria  Acute suicidality defined as score ≥3 on HAMD item 3 Major Depressive Episode in people with Bipolar Disorder Current substance abuse or dependence and/or history of alcohol abuse or dependence within the past year Dementia Current or lifetime history of schizophrenia or schizoaffective disorder Current history of dissociative disorders Known history of hypersensitivity or allergy to Nitrous Oxide, Midazolam or any ingredients in the study formulations Contraindication to receiving nitrous oxide Chronic cobalamin or folate deficiency Contraindication to receiving the placebo midazolam Use of centrally acting medicinal products, such as opioid agonists, morphine derivatives, benzodiazepines and/or other central nervous system depressants such as barbiturates and alcohol Pregnancy or breastfeeding in female participants Electroconvulsive therapy within the current depressive episode Receiving ketamine treatment within the current depressive episode Unwilling to maintain current antidepressant regimen.