Learn English – Are there any expressions that describe going from a bad to a worse situation

The expression is used when there is a dilemma or only two equally difficult decisions. It can be implied where there is a mandatory to make a choice between at least two unpleasant choices.

The origin, according to Phrases Dictionary, is derived from an economic issue where workers face underpaid wages ( a rock) and unemployment (hard place). The full version of the story can be found in the reference.

Other origin worths mentioned is the Greek mythology "Between Scylla and Charybdis", where Odysseus has to take a route between six-headed monster Scylla and the whirlpool Charybdis. For further reading on Wikipedia.

Perhaps you are facing the same problem as a Buridan's ass - an ass caught between two similarly inviting choices.

Morton's fork is similar, but with both choices undesirable.