Should I tell my advisor I am academically overwhelmed?
Had this exact problem last year as a first-year direct-Ph.D. student -- and that was as a STEM undergrad going into a STEM field. I took 2 courses, not knowing at the time that both were considered some of the toughest courses in the department, and ended up failing at one of them so miserably that I had to withdraw from the course.

So backstory out of the way, here's my advice (in no particular order):


DO be honest with your academic adviser. Their job is to give you honest feedback and advice on what your options are (course-wise, at least). It may be possible for you to withdraw from a course without it affecting your GPA (though it may still show up on your transcript. That's how it worked for me -- but it was an acceptable trade in my opinion).
DO NOT expect your academic adviser to necessarily be "sympathetic". That's not to say that they're going to be a cold-hearted jerk, but they likely aren't going to be willing to comfort you (learned this the hard way unfortunately).
DO seek out counseling services if you're feeling overwhelmed and need that sympathetic ear. They can give you strategies for better managing your time and efforts, as well as reassuring you that you are not alone. Friends and family are great to lean on here as well.
DO NOT try to strike out on your own. Project? Make it a group project (if you can). Homework? Round up a few others in the class, find a whiteboard, and do it together. Exams? Order pizza and start studying (at least a week ahead of time, even if only for an hour a day).
DO take care of yourself. That means getting a good night's sleep -- even if you're not going to have everything done for your research tomorrow. And eat a good meal -- don't starve yourself to ink out an extra hour of work. I can't stress this one enough. Your mind (and body) is your greatest tool as a grad student. Take care of it.
DO NOT give up. It gets better. I promise.


None of that is particular to non-STEM students working in STEM fields (major kudos to you for that), so I hope someone who has been in that situation can get back to you too!