Is it too late to switch the class to credit/no credit? If it isn't, you could go that route. Just get the credits and don't worry about it affecting your GPA. Or...withdraw from the class if you're not interested in it whatsoever. You'll have the W on your transcripts, but if the class ends up not being in your major (or supporting your major), then it shouldn't have a significant affect.

You could sit down and talk with your professor, being open about suffering from major depression. Are you one medication? Going to therapy? Trying to get yourself into a better state of mind through distraction techniques? Be honest ~ hopefully, your professor will allow you to make up the exam at a later date, when you're feeling better.

Last idea = stick it out & take the test/s. If your GPA goes down, due to your grade, take the class over again next semester to get your low grade removed and replaced with a higher grade.

Best wishes!