The spray, which contains a natural brain chemical, is designed to penetrate the brain areas involved in mood.
According to researchers, the spray could be effective within two hours, compared to other antidepressants which take several days to work, a newspaper reported.
It is estimated that one in four women and one in ten men will require treatment for depression at some time in their lives.
One of the downsides of antidepressants is that they can take a long time to work -- between two and eight weeks.
In a trial at the Mount Sinai School of Medicine in New York, researchers are investigating the use of the spray containing neuropeptide Y -- the chemical which is used by nerve cells in the brain to communicate with each other.
According to scientists, some of the brain chemicals, especially the `neuropeptide Y`, are thought to be involved in how the brain regulates behaviour and mood.
This compound is the most abundant peptide in the human brain, and is found in nerve fibres alongside another chemical called norepinephrine, which is thought to be involved in regulating mood and anxiety.
Past research has also shown that stress leads to the release of the chemical, and a recent study by University of Michigan found that people with low neuropeptide levels may be at higher risk of developing depression.
Though research has suggested neuropeptide Y may be effective for treating psychiatric disorders, there have been problems in moving the compound into the brain.
This is mainly because it`s a large molecule, and has difficulty in passing through the blood-brain barrier which protects the brain from harmful compounds in the blood.
However, the researchers believe that nasal sprays can overcome this problem.
The upper part of the nose is like a back door into the brain as the nerves involved in smell provide a pathway straight into the central nervous system.
The new trial, which involves 15 volunteers aged 25 to 45, is designed to investigate how well the spray and neuropeptide Y work in the brain, and the effects will be compared with a placebo.
Researchers, who expect results in about two months, use an extra-powerful device to get the liquid as high as possible in the nose, into the area at the very top which is rich in nerves used for detecting smells.
Commenting on the research, a spokesperson from mental health charity Mind says: "This research is at an early stage and it remains to be seen whether this trial will lead to a new treatment.
"It is important to recognise that alternative approaches to antidepressants, such as talking therapies and exercise, can also have positive results."