The primary purpose of this study is to examine whether IV hydrocortisone can speed up the time required for Venlafaxine XR to work.

Participants will be treated with Venlafaxine XR for 6 weeks. The dose of Venlafaxine XR will begin at 37.5 mg/day and be gradually increased to a maximum of 225 mg/day. The dose may be kept as low as 75 mg/day if necessary. Study doctor will be assessing mood to determine if some patients respond more quickly than the several weeks often required for an antidepressant to begin working. On the first day of treatment with Venlafaxine XR, participant will be randomly assigned (similar to a flip of a coin) to receive hydrocortisone 15 mg /day or placebo for two days. Placebo is an inactive substance, like a sugar pill. This dose of hydrocortisone is less than a typical replacement dose for patients who are not producing cortisol (hydrocortisone) naturally. The hydrocortisone is administered intravenously (in a vein) over the course of 2 hours for two consecutive days. Neither participant nor study doctor will know which treatment participant is receiving. However, this information is available to study doctor if it is needed.

Inclusion Criteria::- outpatients at least 18 years of age

• current major depressive episode
• HDRS greater than or equal to 21
• good physical health Exclusion Criteria:- history of sensitivity, intolerance, or non-response to venlafaxine
• history of sensitivity to hydrocortisone
• history of bipolar 1 illness
• meets DSM-IV criteria for a current or past psychotic disorder
• meets DSM-IV criteria for substance abuse or dependence in previous 6 months
• significant imminent suicide risk
• medical condition that would compromise participation in the study
• woman of child bearing potential not using adequate birth control in the opinion of the investigator