Another expression, between the devil and the deep blue sea, also gives you a choice between 2 equally dangerous things.

Its meaning seems clear. You can choose the devil and his burning fires of hell. Or, you can choose to drown in the sea. Some word experts say the expression comes from the days of wooden ships.

The devil is a word for a seam between 2 pieces of wood along the water-line of a ship. If the seam or crack between the 2 pieces of wood begins to leak, then a sailor must fix it. The sailor ordered to make the repairs was in a dangerous situation. He was hanging over the side of the ship, working between the devil and the deep blue sea.

There is still another expression that describes a situation with only bad choices, being on the horns of a dilemma.

The dictionary says a dilemma is a situation in which you must make a decision about 2 equally balanced choices. When your dilemma has horns, a choice becomes impossible. When you are on the horns of a dilemma, no matter which horn you choose, something bad will happen.