I have been reading The Hobbit recently. This phrase caught my eye and drew my attention. 

"Escaping goblins to be caught by wolves!" Bilbo said, and it became a proverb, though we now say "out of the frying pan into the fire" in the same sort of uncomfortable situations. 

This proverb has a corresponding Chinese proverb: 才出虎口，又进狼窝 , which literally means "out of the tiger cave into the wolf den." 

Do you know some other phrases which have the similar meaning?

Hey there! Just made a few tiny corrections for you!

The one similar phrase I can think of that is used frequently where I am from is "Caught between a rock and a hard place"!