out of the frying pan and into the fire

(jump) out of the frying pan (and) into the fire (to go from a bad situation to an even worse one) — из огня да в полымя

Example: Many kids who run away from unhappy homes discover they've jumped out of the frying pan and into the fire.

see also
[между молотом и наковальней]
[between a rock and a hard place]
[between the devil and the deep blue sea]