jump out of the frying pan (and) into the fire
To leave or escape some bad, stressful, or dangerous situation into one that is even worse. Those poor refugees jumped out of the frying pan into the fire—they escaped the famine but ended up in a war zone. I thought my old job was stressful, but my new one is 10 times worse. It's like I jumped out of the frying pan and into the fire.
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