It's not clear here: you just failed the exam in the session and you can retake or you were expelled. In any case, not the end of life. The end is when your heart stops beating. Analyze what you did wrong. Perhaps this is your attitude to learning, or it’s just not yours and the material you learned was bad. And go for it. If you want to stay in Europe and continue your studies, then choose a university there and enter in a year. Ask yourself the question: why? Perhaps you don't need a higher education. Think, is education a crust for you or something more? Will you be able to find a job without him or not. You can take a closer look at the top universities in Russia, at MGIMO they say that not a session, then hell. It is true that it is difficult to get there, but education there is decent. How to overcome depression? It is difficult to drown out an unpleasant feeling, you just have to understand now that either in a year you will change something, or despair will consume you. I'll give you an example. An acquaintance of mine, entered the university at the age of 20 with the money of his parents and he was expelled, because he was an ordinary lazy person, but in order not to break his life he was transferred to a correspondence course. A year later, he passed the exam and entered the budget in Kazan. And he is now studying at the Kazan Federal University. In the very one in which Lenin studied. He is now 22 years old. Plans tend to change. For him, the expulsion was the impetus. It can open new doors for you too. Just understand what you want and start acting.
If you have definitely decided on a specialty, then you can go to college. There is more practice, everyone will explain and usually stick to each student. After vocational education, it is much easier to study at a HSE in the same specialty. In my city, for example, you can enroll in a higher education institution through internal testing, no USE is needed. And also after secondary vocational, you can already try to work in your specialty and study part-time.
The first thing to understand is that failing the exam is, of course, offensive, but not fatal.
There are always other options. failed the exam and now you can't go to the university you want, I see several ways here
1) this is a great chance to retake the exam next year, and this year to work and possibly understand who you really want be
2) go to a simple university, and if you don’t like it, then retake the exam again and go where you want
3) go to study in Europe (it’s not so expensive it seems that in many countries education is free) many of my friends, including me, have passed the exam poorly, and are now studying at some of the coolest universities in Europe
We must understand, the exam is not an indicator
If you failed the exam at the university and you are kicked out, then again, there are several ways
1) retake the exam with the commission
2) transfer to another university, begging for it (so my friends did too)
3) maybe this a great chance to understand that the profession you have chosen is not yours, and you have long wanted to practice dancing instead of applied physics)
4) try yourself next year
Remember that there are always ways , everyone has come across this and it's really not scary, you just need to sit down and think
Good luck, you will succeed)