The purpose of this pilot study is to determine if taking a low dose of naltrexone in addition to an antidepressant medication can help treat relapse or recurrence in people with Major Depressive Disorder (MDD). The U.S. Food and Drug Administration (FDA) has approved naltrexone for the treatment of alcohol dependence and opioid dependence, but the FDA has not approved naltrexone to treat depression. The investigators hypothesize that patients with breakthrough depression on an antidepressant regimen containing a pro-dopaminergic agent assigned to treatment with low dose naltrexone will demonstrate higher rates of response compared to those patients taking placebo.