The purpose of this study is to know how well seltorexant works, and also to evaluate safety and maintenance effect of seltorexant compared with placebo as an adjunctive therapy to an antidepressant in improving depressive symptoms in participants with major depressive disorder with insomnia symptoms (MDDIS) who have had an inadequate response to current antidepressant therapy with a selective serotonin reuptake inhibitor (SSRI) or serotonin-norepinephrine reuptake inhibitor (SNRI).