The purposes of this study are to determine:

• Whether olanzapine plus fluoxetine in combination will help patients with treatment-resistant major depression.
• The safety of olanzapine plus fluoxetine in combination, plus and any side effects that might be associated with the combination.
• The effectiveness of olanzapine plus fluoxetine compared to olanzapine and fluoxetine alone.

Inclusion Criteria:

• Male or female patients, 18 - 65 years of age.
• Each patient must have a level of understanding sufficient to perform all tests and examinations required by the protocol, and must be considered reliable according to the investigator's clinical judgement
• Patients must fulfill the criteria for recurrent MDD without psychotic features as defined by the DSM-IV, based on clinical assessment and confirmed by Structured Clinical Interview for DSM-IV Axis I Disorders - Clinical Version (SCID-I) plus the Major Depressive Disorder Specifiers included in the Research Version of the SCID-I. This includes at least one of the following diagnoses: 296.31, 296.32, and 296.33
• Female patients of childbearing potential must be using a medically accepted means of contraception throughout the course of the study. Use of any oral or injectable contraception must be initiated prior to visit 2
• Failure to achieve satisfactory antidepressant response to an adequate trial of an antidepressant (except fluoxetine), for at least 6 weeks at an acceptable dose or greater, occurring within the current episode of MDD

Exclusion Criteria:

• Treatment with a drug within the last 30 days that has not received regulatory approval at the time of study entry
• Exposure to OFC in a Lilly-sponsored clinical trial investigating OFC, and any patients historically failing to respond to olanzapine and fluoxetine in combination under any circumstance
• Persons who have previously entered any Lilly-sponsored study which was investigating olanzapine
• Female patients who are either pregnant or nursing
• Serious, unstable illnesses for which death is anticipated within 1 year of intensive care unit hospitalization for the disease is anticipated within 6 months. This includes hepatic (specifically any degree of jaundice), renal, gastroenterologic, respiratory, cardiovascular (including ischemic heart disease), endocrinologic, neurologic, immunologic, or hematologic diseases (specifically current agranulocytosis with an absolute neutrophil count < 500 mm_3)