Well, it seems to work in this pilot study‘
http://www.biologicalpsychiatryjournal.com/article/S0006-3223(14)00910-X/fulltext

20 therapy resistant depressed patients were given inhalations of nitrous oxide or placebo – and the group given nitrous oxide showed improvement on depression scores.

Nitrous oxide, like ketamine, works as an NMDA receptor antagonist. This could be their shared mechanism of action in depression.

Now the result has to be confirmed in a larger group.