The purpose of this study is to determine the optimal treatment strategy for MDD patients with melancholic features who do not respond to a standard daily dose. This study will allow investigators to mimic standard clinical practice. During the first 2 weeks of treatment, clinical evaluation of individual patient tolerability and efficacy will enable the dose of duloxetine to be adjusted. Patients allocated to the Flex group may have their daily dose of duloxetine adjusted in the attempt to elicit a clinical response.

Inclusion Criteria:

• Have a diagnosis of major depression with melancholic features, as defined by Diagnostic and Statistical Manual of Mental Disorders Fourth Edition [DSM-IV] criteria.
• Experienced their first episode of major depression prior to age 50.
• Have a HAMD17 total score of less than or equal to 20 at Visits 1 and 2.
• Test negative for a urine pregnancy test at Visit 1 (females).
• Agree to use medically acceptable and reliable means of birth control during the study, as determined by the investigator (females of child-bearing potential, not surgically sterilized and between menarche, and one year post-menopausal).

Exclusion Criteria:

• Have any current and primary Axis I mood disorder other than MDD, including, but not limited to, dysthymia, seasonal affective disorder or psychotic depression.
• Have a current episode of major depression that has failed to respond to two or more courses of antidepressant therapy or, in the judgment of the investigator, meets criteria for treatment-resistant depression
• Are at serious suicidal risk as determined by the investigator.
• Have a serious medical illness or clinically significant laboratory abnormalities that, in the judgment of the investigator, are likely to require medication/ intervention/ hospitalization during the course of the study.
• Had treatment with a monoamine oxidase inhibitor (MAOI) within 14 days prior to Visit 2 or potential need to use a MAOI during the study or within 14 days of discontinuation of study drug.