The phrase means moving from a bad situation to an even worse one.
The idiom "Out of the frying pan and into the fire" traces its origins to an ancient Greek fable by Aesop, where a fish escapes a frying pan only to land in burning coals. One of the earliest documented uses in English was by Sir Thomas More in his 1532 work "The Confutacyon of Tyndales Answere," where he critiqued William Tyndale by stating that Tyndale "featly conuayed himself out of the frying panne fayre into the fyre."
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