Major depressive disorder (MDD) is a serious illness that affects a person's body, mood, and thoughts. The symptoms of MDD can interfere with a person's ability to work, study, sleep, eat, and enjoy activities that were once pleasurable. Antidepressant medications and psychotherapy are among the effective treatments for MDD. Individuals often respond to one type of treatment, but not another. Currently, however, doctors have no way of pre-determining which individuals will most benefit from which treatments. In the absence of practical predictors of MDD treatment response, the potential efficacy of existing MDD treatments is limited. This study will identify factors that may predict MDD treatment response by comparing the effectiveness of a selective serotonin reuptake inhibitor (SSRI), a serotonin norepinephrine reuptake inhibitor (SNRI), and cognitive behavioral therapy in people with MDD.