Major depressive disorder (MDD) is a global medical problem with significant shortcomings in current therapy. Chief among these is the delay between initiation of pharmacologic therapy and clinical improvement in symptoms. Recently ketamine, an NDMA-receptor antagonist has been shown to rapidly and effectively reverse the symptoms of MDD. Nitrous oxide, another NMDA-receptor antagonist, may produce the same effect with a cleaner side-effect profile and perhaps without the need for intravenous access and anesthesia personnel. Therefore, we propose conducting a pilot randomized placebo controlled double-blind crossover study in which patients will receive up to 50% nitrous oxide in oxygen or up to 50% oxygen in air for a period of one hour in addition to standard medical therapy. Depression severity will be assessed by a blinded observer pre-treatment, 30 minutes and 2 hours post treatment using the Hamilton depression rating scale.