Despite being approved by the US FDA and the EU European Medicines Agency, the performance of esketamine nasal spray as an adjunctive therapy with an antidepressant in major depressive disorder is still controversial. Comprehensive retrieval in Embase, Pubmed, and Web of Science was conducted to identify randomized controlled trials comparing esketamine nasal spray versus control in major depressive disorder or treatment‐resistant depression. The primary efficacy outcome was a reduction of the Montgomery‐Asberg Depression Rating Scale, from baseline to Day 2 or Day 28 for patients with or without suicidal ideation, respectively. The long‐term efficacy outcome was the relapse rate of patients who achieved stable remission. The certainty of evidence was assessed according to the Cochrane recommendation. Esketamine nasal spray was superior to placebo in reduction of Montgomery‐Asberg Depression Rating Scale from baseline to Day 28 in patients without suicidal ideation (standardized mean difference: −0.24, 95% confidence interval: −0.38, −0.09, P = 0.001, I2 = 24%), and on Day 2 in patients with suicidal ideation (standardized mean difference: −0.30, 95% confidence interval: −0.47, −0.12, P = 0.0008, I2 = 0%). The long‐term relapse rate was significantly lower in the esketamine nasal spray group than in the placebo/quetiapine group (risk ratio: RR: 0.60, 95% confidence interval: 0.45–0.80, I2 = 0%). The rate of suicidal ideation was similar between the two groups. The certainty of evidence was graded as “moderate” or “high” in the abovementioned results. Esketamine nasal spray in conjunction with an antidepressant effectively controls short‐term and long‐term depressive symptoms in major depressive disorder and treatment‐resistant depression, with a manageable trade‐off between efficacy and safety.