We’re not out of the woods yet.
In English that could be used in two ways:
Literally : We are still walking under trees.
Figuratively: We are still in a critical phase / in trouble.
Does it have the same double meaning in Italian?
The figurative meaning is not present in Italian. You may say “Non siamo ancora fuori dai guai.” if you mean that. Or maybe “siamo ancora in alto mare” (although the latter is more like “we are still far from our goal”).