Inclusion Criteria:
* Must meet diagnostic and statistical manual of mental disorders (5th edition) (DSM-5) diagnostic criteria for major depressive disorder (MDD) based upon clinical assessment and confirmed by the mini-international neuropsychiatric interview for children and adolescents (MINI-KID)
* Must have a clinical global impression - severity of suicidality - revised (CGI-SS-R) score of "Markedly" or greater (that is, greater than or equal to [>=] 4) at both screening and baseline (predose) visits
* Must have a children's depression rating scale - revised (CDRS-R) total score >= 58 at baseline (predose)
* In the physician's opinion, acute psychiatric hospitalization is clinically warranted due to subject's acute suicidality
* Must be medically stable based on physical examination, medical history, vital signs, and 12-lead electrocardiogram (ECG) performed at screening
Exclusion Criteria:
* Participant has a current DSM-5 diagnosis of bipolar (or related disorders), intellectual disability, autism spectrum disorder, conduct disorder, oppositional defiant disorder
* Participant currently meets DSM-5 criteria for borderline personality disorder
* Participant has a current or prior DSM-5 diagnosis of a psychotic disorder, or MDD with psychosis
* Participant has a history of seizure disorder
* Participant has known allergies, hypersensitivity, intolerance or contraindications to midazolam, esketamine or ketamine, or their excipients