there's safety in numbers

Meaning:

if people do something difficult or unpleasant together, they are less likely to get harmed or blamed

Сlose to "на миру и смерть красна", "вместе/вдвоём(втроём....) не (так) страшно, пр.

A line from an old Soviet cartoon crossed my mind: "Let's shiver with fright together!" - (Давай бояться вместе!)