Background: A significant percentage of patients with major depressive disorder (MDD) fail to achieve remission with antidepressant monotherapy and frequently experience residual mood and cognitive symptoms that impair their functional recovery. Thus, an augmentation with vortioxetine, a multimodal antidepressant with reported cognitive benefits, might be a useful strategy for such patients. Methods: We conducted a 12-week naturalistic, prospective observational study in a Malaysian university hospital. 40 adults with MDD and inadequate response to at least eight weeks of antidepressant therapy received either adjunctive vortioxetine or optimization of their existing antidepressant as part of treatment-as-usual care. Depressive symptoms were assessed using the Montgomery–Åsberg Depression Rating Scale (MADRS), cognitive symptoms using the Perceived Deficits Questionnaire-5 (PDQ-D5), and global improvement using the Clinical Global Impressions–Improvement (CGI-I) scale. Results: Both groups demonstrated significant improvements in MADRS and PDQ-D5 scores over 12 weeks (p < 0.001). Remission rates at Week 12 were high in both groups (93.8% adjunctive vortioxetine vs 86.7% control). While between-group differences were not statistically significant, patients receiving vortioxetine showed earlier improvement in several core depressive symptoms, including apparent sadness, suicidal ideation, and appetite disturbance. Greater clinician-rated global improvement was observed in the vortioxetine group at Week 12 (87.5% vs 40.0%, p < 0.001). Conclusions: In this outpatient clinical setting, adjunctive vortioxetine was associated with earlier improvement of core depressive symptoms and greater global clinical improvement compared with optimization of existing antidepressant therapy. Collectively, these findings suggest adjunctive vortioxetine as a clinically relevant option for patients with MDD who show an inadequate response to antidepressant monotherapy.