This study will determine the efficacy, safety, and tolerability of a 40 milligrams (mg) once-daily (QD) dose of LY2940094 for 8 weeks in participants with MDD.

Inclusion Criteria:

• Have a diagnosis of MDD without psychotic features as defined in the Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition, Text Revision (DSM-IV-TR)
• Have clinically significant depressive symptoms defined by a GRID Hamilton Depression Rating Scale 17 (HAMD17) Total Score ≥20 at screening
• Body mass index (BMI) between 18 and 35 kilogram per square meter (kg/m²)

Exclusion Criteria:

• Have a current or previous diagnosis of bipolar I or II disorder, MDD with psychotic features, schizoaffective disorder, schizophrenia, or other psychotic disorder
• Currently meeting the criteria of treatment-resistant depression defined as ≥2 documented, failed treatment trials of adequate dose and duration with a registered antidepressant during the current depressive episode
• Had electroconvulsive treatment, transcranial magnetic stimulation, vagal nerve stimulation for symptoms of depression in the 6 months prior to screening
• Have any clinically significant medical or uncontrolled condition or circumstance prior to randomization that could affect participant safety