out of the frying pan, into the fire in Russian

из огня́ да в по́лымя

(idiomatic) Move or get from an already bad situation to a worse one; end up in a worse situation when trying to escape from a bad or difficult one.

от во́лка бежа́л, да на медве́дя попа́л

(idiomatic) Move or get from an already bad situation to a worse one; end up in a worse situation when trying to escape from a bad or difficult one.