I'm not sure there is an equivalent phrasal idiom in Greek, but the verb συγκινδυνεύω "run a risk together with someone" can be used to express this idea; here's an example from Plato's Philebus (29a):
βούλει δῆτά τι καὶ ἡμεῖς τοῖς ἔμπροσθεν ὁμολογούμενον συμφήσωμεν ὡς ταῦθ᾽ οὕτως ἔχει, καὶ μὴ μόνον οἰώμεθα δεῖν τἀλλότρια ἄνευ κινδύνου λέγειν, ἀλλὰ καὶ συγκινδυνεύωμεν καὶ μετέχωμεν τοῦ ψόγου, ὅταν ἀνὴρ δεινὸς φῇ ταῦτα μὴ οὕτως ἀλλ᾽ ἀτάκτως ἔχειν;
Harold Fowler's translation: "Do you, then, think we should assent to this and agree in the doctrine of our predecessors, not merely intending to repeat the words of others, with no risk to ourselves, but ready to share with them in the risk and the blame, if any clever man declares that this world is not thus ordered, but is without order?"