There are several idioms in Italian and its regional dialects, but no proverbs that I know of.
I think that an exact match would be the two equivalent Tuscan sayings, "maledetto il peggio" and "accidenti al peggio" (where peggio should actually be peggiore). Literally it means, "Damned be the worst of them"; but the construction "Damned be something" actually means that one can't find or decide which the something (for example in Berni's Capitolo del Diluvio: "...e maladetto quel gambo di biada / che non andasse al nimico del vino" means that not a single stalk of wheat avoided falling prey of the water), so it could be rendered as damned if there's one of them worse than any other.
I've also heard the phrase aiutami a dire chi è peggio (help me in telling who the worst is) and non si sa cos'è peggio.
In the south of Italy you could say *focu e fiumara (, aundi pigghia, a lleva para)" (fire and flood, whatever they get to, they destroy likewise: so that's there little to choose between the one and the other).
If the two things are equivalent, but not necessarily bad (in English, six of one and half a dozen of the other), you'd say se non è zuppa è pan bagnato: both foods are bland, but nourishing.
When you actually have a choice of two equally bad alternatives, you're said to be fra Scilla e Cariddi (between Scylla and Charybdis, two mythical monsters from Homer's Odyssey). If these are simultaneous constraints, and it's their simultaneity the problem, then you're fra l'incudine e il martello (between a rock and a hard place; literally between the anvil and the hammer).
There are several sayings that refer to something being worse than whatever it follows:
- il rimedio è peggiore del male (the medicine is worse than the ailment);
- in Venetian, the above translates as xe peg(g)io el tacon del buso (the patch is worse than the hole);
- cadere dalla padella nella brace (escape from the frying pan only to fall onto the hot coals);
- Re Serpe (a reference to one of Phaedrus' fables, in which the frogs asked Zeus for a king; unsatisfied by the unmoving log Zeus had thrown them, they asked another, and Zeus sent a snake that started eating them). You'll find this form implied in contèntati di Re Travicello! (be satisfied with King Log!, implying ...lest King Snake come next: for in Italian, al peggio non c'è mai fine (it can always get worse), and when it does get worse, usually under guise of actually becoming better, you'll comment si stava meglio quando si stava peggio (we were better off when we were worse off).