How do you call a situation in which you seemingly have a choice, but whatever you choose it will be to your disadvantage in one way or another?
One might say than in such a situation, you're faced with two evils (or maybe more than two). There's a commonly used phrase choose the lesser of two evils:
To pick the less offensive of two undesirable options.
I wasn't excited about going to a seminar all weekend, but I also didn't want to lose my license, so I chose the lesser of two evils and spent the weekend learning about new regulations in our field.
Do you really want to get a demerit for not having your blazer? Just choose the lesser of two evils and tell the teacher you forgot it—maybe she'll take pity on you!
(source: The Free Dictionary)
There are many such idioms in English. You could say you are "caught on the horns of a dilemma," "between a rock and a hard place," "between the devil and the deep blue sea," "between Scylla and Charybdis." These generally all mean you are faced with two equally unpleasant options. https://www.collinsdictionary.com/dictionary/english/on-the-horns-of-a-dilemma
In that situation, you are said to have a Sophie's Choice.
Example (from Wiki):
We've been given a Sophie's Choice. We can improperly care for some children vs. improperly care for other children.
- A choice where every alternative has significant negative consequences.
The expression lose-lose situation (any choice is as bad as all the others), as mentioned by Ryan, is probably the best one so far. All I can do is recommend you another way to describe a situation where all outcomes are considered equally bad:
Either choice is bad any way you slice it.
Here's how the Macmillan Dictionary defines any way you slice it:
used for saying that something remains true, whatever way you consider it
Example: The book is a bestseller any way you slice it.
A lot of answers here (lose-lose, lesser of two evils, horns of a dilemma, rock & hard place) seem to indicate choosing between two options. Where there are a number of distasteful options the general idiom I've come across is: The best of a bad bunch
Yes, it looks like you have a range of choices, but in an ideal world, you wouldn't select any of them. Since you have to choose one, you pick the best of a bad bunch.
Damned if you do, damned if you don't is another common idiom conveying this.
A situation in which one can't win. For example, If I invite Aunt Jane, Mother will be angry, and if I don't, I lose Jane's friendship-I'm damned if I do and damned if I don't. [Colloquial; first half of 1900s]
"Dilemma" can work well in some cases:
di·lem·ma (noun) a situation in which a difficult choice has to be made between two or more alternatives, especially equally undesirable ones.
Also, I like "lose-lose" mentioned above – but “dilemma" is more formal.
It's called a zugzwang.
a situation in which the obligation to make a move in one's turn is a serious, often decisive, disadvantage.
"black is in zugzwang"
It's from an old satire story about American military life. This particular allusion is to intentionally self-defeating regulation. In the story, a soldier may apply for relief from battle on grounds of insanity, per regulation 22, but had to make the application himself. However, the ability to recognize one's own insanity proves no insanity exists at all, thus the soldier would "catch [regulation] 22" and his request would be denied.
The most appropriate use for this should be when you have a choice, but outcomes are identical, but common usage is for a selection of choices and all outcomes are not favorable.
Whatever your choices, I give you The Clash while you decide.
A typical term for this scenario is to refer to "Morton's fork". The etymology for this dates back to tax collectors in medieval England, after a scheme proposed by a bishop named John Morton, which held that anyone who lived modestly must be saving money and thus could pay their taxes, while anyone who was living lavishly must be wealthy and can thus also afford to pay taxes.