My usual reaction to this is saying to my SO "sorry honey, i won't be able to do this". I don't know how easily you communicate with your boyfriend about your depression, but i find that communicating as early as possible when you're faced with a challenging situation is very useful.

I'm not saying you should bail out (sometimes it's good to put yourself in the situations you're uncomfortable with), but it definitely should be an option if your BF is understanding and if you can talk to him freely about your problems.