To move from one difficult situation to another that is worse.
This expression appears to have its roots in the fables of 15th century Italian scholar Abstemium, who wrote 200 fables based on the themes of the classic Aesop's fables.
The Fish and the Frying Pan. Some fish, still alive, were being cooked in hot oil in a frying pan. One of the fish said, "Let's get out of here, my brothers, in order to save our lives." Then the fish all leaped out of the frying pan together, and fell into the burning coals. Stricken by even greater pain as a result, they cursed the plan which they had followed, saying, "What a far more horrible death we are facing now!"
Many of the fables traditionally attributed to the slave known as Aesop who lived in Greece in the 5th century B.C.E. cannot be traced any earlier than a few centuries after Aesop's death and a great many others have their roots in more modern times. Indeed it is far from clear whether even the early fables are correctly attributed to Aesop or whether such a person even existed. Both Herodotus and Aristophanes make passing mention to Aesop in their writings later in the 5th century B.C.E. but even at that time it seems that Aesop's fables had come to encompass certain types of fables in the oral tradition that did not have a known origin.
As an interesting aside, Abstemius's Italian name was Lorenzo Bevilaqua - in Italian "bevilaqua" means "drink water" - thus, when Bevilaqua adopted a Latin version of his name (as many did in that time, Latin being the lingua franca of the day) it became Abstemius - whether tongue in cheek or not we will likely never know.
Some sources say that the first known adaptation of Abstemius's tale into English was by Roger L'Estrange in 1692, but it seems that there is an earlier use by Thomas More who in an 1532 critique of William Tyndale, who translated the Bible into English, asserted that Tyndale "featly conuayed himself out of the frying panne fayre into the fyre."
As it happens Tyndale did end up being burned as a heretic in 1536, but More was not there to see him as a year earlier he had been hung as a traitor for refusing to approve Henry VIII's divorce from Catherine of Aragon and marriage to Anne Boleyn.
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