An Efficacy, Safety and Tolerability Study of JNJ-42165279 in Participants With Major Depressive Disorder With Anxious Distress

Inclusion Criteria: * Participant must meet the Diagnostic and Statistical Manual of Mental Disorders-IV (DSM-IV) or 5 diagnostic criteria for major depressive disorder (MDD) with Anxious Distress * Participants with a diagnosis of comorbid Generalized Anxiety Disorder, Social Anxiety Disorder, or Panic Disorder may be included, if the investigator considers MDD with Anxious Distress to be the primary diagnosis (confirmed by an independent central rater at screening) * Participants must have been treated with an approved SSRI/SNRI antidepressants for at least 6 continuous weeks, validated by an independent central rater contracted by the sponsor * A 17-item Hamilton Depression Rating Scale (HDRS17) total score greater than or equal to (\>=)18 and a HDRS17 anxiety/somatization factor score \>=7 at screening, assessed by a site rater and reviewed by an independent central rater on Day 1 * Participant must be willing and able to adhere to the prohibitions and restrictions * Participant Body mass index (BMI = weight/height2) must be between 18 and 35 kilogram per square meter (kg/m\^2) inclusive Exclusion Criteria: * Has other psychiatric condition, including, but not limited to, MDD with psychotic features, bipolar disorder, obsessive-compulsive disorder, post-traumatic stress disorder, borderline personality disorder, eating disorder, or schizophrenia * Has a length of current Major Depressive Episode (MDE) greater than (\>) 6 months * Has more than 1 failed antidepressant t…